Because my interests are better served, and my liberties are better protected, at this point by my national government than they would be by the UN (closest we've gotten to a world organization).
Secondly, human nature is directly related to your contention that a world government would be superior to nations. Factions or "interests" would replace "nations". It would be a change in name only. You can't impose a system that is disregards human nature. It's bound to fail. The Soviets proved that. Humans largely operate in the furtherance of their self interest. That would not change if nations disappear.
Therefore if you seek to have a world in which selfless decisions are made, which is what you are driving at I think, getting rid of nations won't accomplish it.
What makes you think that your interests are better served by a national government? Is a national government that different to a city, what makes you think it isn't run for personal profit, at least sometimes?
Also, I don't see how a world government disregards human nature more than a national government or any government really. We are tribal people unable to maintain more than about 150 friends. If you feel more emotionally attached to the people of your nation than the others, you have been tricked into it, because there's absolutely no reason to. Human nature dictates that there will be conflicts between enemies (i.e. people with divergent interests) and conflicts between allies (i.e. people with some common interest) that do not have the same idea about how to run their group. The former would be eliminated by uniting humanity's interests under one authority, while the latter would of course still happen. But the latter is politics, which can work peacefully, unlike wars between nations.
I'm not driving at an utopian selfless society, because precisely
that would be neglecting human nature. What I'm driving at is a society where it's
possible to organise ourselves for mutual interest on various matters. And it's not even like this is a novel idea. It's the reason our excessive stockpiles of nuclear weapons are being destroyed for example.