Why do we do this to ourselves?
The best reason that I can come up with is pride, but if you've got a different or better idea I'm all ears.
...no one will convince anyone else
Perhaps, but as one who never gave it any SERIOUS thought, and raised protestant, I have to disagree that no one will be convinced. I decided to leave all prejudices behind and really study (after having prayed to receive the whole truth for a few years). I had a great teacher (another answer to prayer). I was convinced, and it now appears foolish to me for anyone to believe that Sacred Scripture is the sole rule of faith. To sum it up, it's the Catholic Church (the one true church, and the only church for 1600 years) that gave us the Bible, not the other way around. Jesus left a Church (the Catholic Church, it's clear), not a book. An interesting read on this subject (and a convincing one) is "Where We Got The Bible, Our Debt to the Catholic Church" by The Right Rev. Henry G. Graham, TAN books.
The dedication to the book reads, in part, "'I would not believe the Gospel unless moved thereto by the Catholic Church' St. Augustine (Contra Epis. Manich, Fund., n. 6.)"
Because some people thrive on being know-it-alls and preaching to others.............oh, and they also like to fight.
Because it's fun and we can't help it. Like drinking too much and puking.
It's what's known as evangelization.
Because even St. Paul, one of the staunchest proponents of "sola scriptura" in his day, got knocked on his behind and saw the light.