Because you don't have control over your money. Your money can be stolen or frozen.
If you use centralized finance, banks and the government are in control of your money. If you use "defi", you are almost always trusting a small set of actors to behave and not steal your money.
Some examples:
MakerDao whitelists a set of trusted actors to determine what the price of collateral is relative to the dollar. If this price is manipulated, all collateral can be stolen by wrongful liquidation. MakerDao has $18 Billion and counting worth of collateral at stake, with only a one hour delay between oracle collusion and a total drain of the system. This is because Maker has centralized price providers with a one hour delay. This allows users to remove their collateral before it is stolen by an oracle attack. That is the only protection Maker users have against the price providers stealing their money.
Over 57% of Dai is generated from USDC, a centralized stablecoin with close ties to the US government. Besides the obvious oxymoron (a "decentralized" stablecoin backed by a centralized stablecoin) Circle could at any point freeze all USDC collateral in the Maker system, destroying Dai. This could be done by government request, or simply by a hacker compromising Circle's private keys.
Compound is controlled by founders and venture capitalists. Take a look at Top Addresses by Voting Weight. Four venture capital firms and the founder hold 40% of all Comp, meaning they effectively control all changes to the Compound protocol. This gives those actors the ability to steal $10 Billion and counting of collateral through a malicious change.
After a recent bug introduced by the flawed Compound governance mechanism discussed above, Robert Leshner, the creator of a supposed "decentralized" protocol, threatened to dox legitimate users of the protocol to the US Government.
Liquity, a stablecoin, and Aave, a decentralized lending protocol, both use Chainlink for their oracle prices. Chainlink has a centralized security model as confirmed by Vitalik. This is because, like with Maker above, only actors approved by the centralized team can become chainlink nodes. This means that there is centralized control of the oracles providing prices to Liquity and Aave and all other protocols that rely on Chainlink, making it possible for a small set of actors to steal $11 Billion in collateral from Aave and $3 Billion in collateral from Liquity through wrongful liquidations.
Defi promises you control over your money, but instead leaves it open to censorship and theft. This is why building truly Trustless and censorship resistant protocols is so important for the future of decentralized finance.
Why is this so important? (this page)