Because nothing else satisfies. I have been on this earth now for nearly 31 years - and in all my travels and preaching and meanderings on the meaning of life - and in seeing countless people try many things (substances, relationships, entertainment, money, etc.) and they are left empty and broken in the end. This is most evident in someone like Marilyn Monroe - who was physically gorgeous, had money, fame and so much of what so many chase after and covet. She had it all - and yet she was incomplete. Severely incomplete - to the point she took her own life at the age of 36.
13 Jesus said to her, “Everyone who drinks of this water will be thirsty again, 14 but whoever drinks of the water that I will give him will never be thirsty again. The water that I will give him will become in him a spring of water welling up to eternal life.” 15 The woman said to him, “Sir, give me this water, so that I will not be thirsty or have to come here to draw water.” - John 4:13-15
Did you catch verse 14? There is a satisfaction, a completeness, a genuine 'well of spiritual water' to be found in Jesus, that cannot be found anywhere else. And the really cool thing is - Jesus offers this water to whoever thirsts!
You will keep on thirsting, unless you satisfy your soul palate.