Because they are small and extremely well made (HARD as STEEL).
Why does stepping on a lego HURT SOO MUCH!!!??? BLURT IT!!
Because they do. And for me it tends to happen at night when I get up to get something to drink and as I walk through the living room or down the hallway to check on my kids, I'm surprised by a Lego being stuck in my foot. But I continue to buy them for my boys. Lol
just like if you step on a Christmas ornament ouch. Then a lego has got to hurt.