Because externalities screw with incentives.

Theft is stupid from a broad view. It causes more harm to the victim than benefit to the perpetrator. Everyone would be better off if we everyone stopped stealing and we provided the same level of benefit to would-be perpetrators in a more efficient form.

Why hasn't theft stopped yet? Because it's extremely difficult to do from a systems level. In principle it's simple: just don't steal. Convincing everyone to do it is hard.

Likewise, fossil fuels have horrible externalities that kill thousands if not millions of people per year. We'd be better off if we greatly cut back our usage and replaced it with cleaner sources of energy. But the people benefitting from any given use of fossil fuels and the people paying the costs tend not to be the same people. This makes it extremely difficult to organize a halt.