We are not really told this. However, I think the main reason is simply because the lottery is just a tradition.
No one really knows why it is held. But when the people talk about places that have abolished the lottery, they think those places are dumb. They don't have a reason -- it's just that this is what they're used to. I think this is a major point Jackson is trying to make -- that people can get used to even horrible things and do them just because.
As for why it started in the first place, maybe it was once necessary to keep the population down to a manageable level. Or it may once have been a sacrifice to bring good harvest "Lottery in June, corn be heavy soon."
"The Lottery" is a type of offering for the harvest that the people have passed down as a tradition from one generation to another. The event occurs in the summer which would be planting months in New England. No one really questions the purpose or the need for the tradition. They are reluctant to change. When it is brought up that other towns have stopped their lottery people act agitated and resistant to the idea.
"Used to be a saying about 'Lottery in June, corn be heavy soon.'"
The reluctance for change is also evident in the box that is used for the lottery. The story mentions that the people need a new box because it has become run down. The same blck box had been used even before the oldest man in the town had been born.