It's because follow lists don't scale and are notoriously broken. Any client I use, can't handle my follow list of only ~800 pubkeys. I miss all kinds of content that supposedly I am following. Lists could have possibly helped here, but also, if a client can't handle a 800 pubkey list, then wat, have a bunch of 200 pubkey lists? It didn't end up mattering because no clients built in list support and using the follow button even once breaks your follow list half the time.

Relays can handle this processing, create mega lists of pubkeys, pull in extra stuff, provide better content and discovery of people you weren't following in case you did want to "bookmark" them for the day when clients can handle it, or use your lists to create new relay filters and streams. The relay becomes a hub of content, for a community, it can run bots and people can see those bots and won't get throttled.

Many reasons, but these are just a few to get started.