Because we like democracy perhaps? don't think many of the people who voted brexit actually thought we'd be better, or have 350m for the NHS. It's about accountability, the EU heads are so far detached from the everyday person that they cannot be held accountable.
Tell that to the Judges that got called the "Enemy of the People" for upholding the constitution. Your average Brexiter couldn't explain Democracy even with a "Democracy for Dummies" crib sheet in front of them.