Because I can easily opt out of not giving my data to Facebook or Google. If I feel that Microsoft has abused my privacy, I can switch to Apple, or to Linux. If Amazon sells my personal information, I can buy from Barnes and Noble or my local bookstore. It's (usually) an entirely voluntary relationship.
My relationship with the federal government is not voluntary. When Congress passes a law I don't agree with, I can't take my business elsewhere without moving to a different country. I'm stuck with it. It's all well and good to believe that government is supposed to be representing the interests of the people, but they cannot be everything to everyone. Some percentage of people will necessarily be unhappy with the outcome, often a large percentage.
That's why people like me are in favor of limiting its influence. That's obviously not always possible, which is why we also prefer those decisions that large percentages of people won't agree with to go to state and local governments. If my town bans gay marriage and I'm in favor of it, I can move to the next town over without disrupting my life too much. If my state's education department is awful, I can move somewhere with a better one. When you concentrate all that power in the federal government, we lose choice and freedom.