The answer is simple: It feels better. Imagine going through your day with a bulky diaper bunched between your legs. No matter how absorbent and soft diapers can be, some children just do not like to be confined in them, and are apt to take them off whenever possible. Unfortunately, peeing and pooping on carpets and furniture is not acceptable, so a diaper it must be.
Most children this age do not take well to toilet training and it is not a good idea to try to force this on your daughter. The best solution is to dress her in clothing that does not allow her to remove the diaper. Some onesies, for example, have heavy-duty snaps that are difficult even for adults to pry apart. You can make the diaper even more inaccessible by putting on overalls on top of the onesie. However, every now and then, when it is all right to do so, let her enjoy her freedom.