Because without the need to be profitable, you get gross incompetence, corruption, and waste. See: California HSR, BART expansion, NYC subway expansion.
The power of the market forces private businesses to offer quality service. A privately run subway would never allow drug addicts and thieves run rampant on the train like they're allowed to in NYC and the Bay.
Pro tip: if I feel scared for my life or property at any point during a transit, you've already lost against a car.