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The biggest reason is that it's horribly inefficient for an airline to fly between every possible pair of airports, because it means that if only a few people want to go between those particular cities you're operating a mostly empty airplane.

The hub model means that the number of distinct routes scales approximately linearly with the number of destinations. A point-to-point model requires the number of routs to scale approximately with the factorial of the number of possible destinations... with even as few as four airports, using the hub model can cut the number of routes in half, and it just gets better from there. By the time you get to ten airports, the number of point-to-point routes is in the hundreds of thousands, versus low double-digits for using a hub model.

It's a lot more efficient to just send everyone from, say, Des Moines to either Chicago or Denver depending on whether they want to go east or west, and then have them catch a connecting flight to their final destination.

Even between relatively large origin and destination cities, there may only be enough people who want to travel to fill, say, two flights per day. Using connecting flights enables an airline to fill more flights per day, giving travelers greater flexibility in making their arrangements. If you've got a flight leaving from Chicago to New York every hour from 6 am to 8 pm, people may choose you over your competitor that offers only two flights per day at potentially inconvenient times for them.

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