Few reasons:
1. You get to reuse existing parts. When next I want to upgrade I can still use my case, PSU, drives and soundcard and maybe my video card, RAM, etc. Depending on platform. This saves money.
2. You can OC. Many/most brand PCs will not permit.
3. Boutique PCs are nice alternatives and prolly let you OC but they are pricey. The cheaper major brand PCs have more limitations, as mentioned above. I'd say for an OC, gaming PC it's cheaper to get quality on your own build.
4. You learn how to build and troubleshoot. Keeps you from being at mercy of the god awful geek squads out there.
5. It's fun. I love a new build!