It is a fair question and a necessary one. Simply, the answer is because we are lost. Jesus once observed a crowd of people following Him and it was said of Him that He had compassion on them because they were like sheep without a shepherd. That is, they were lost and wandering around not knowing where they were going for they had no one to guide them.
We need saved because we are lost in sin. Sin is defined as going against God’s law (I John 3:4) and it is the common experience of all mankind as Romans 3:23 tells us, “for all have sinned and come short of the glory of God”. Sin is also described as when a person “knows the right thing to do and does not do it, to him it is sin” James 4:17. Further, we can even go against our conscience and that is considered sin (Rom.14:22,23). Finally, John the Apostle tells us that “all unrighteousness is sin” (I John 5:17). If you can stand before God and tell Him that you have never disobeyed His law, and that you have never failed to do a good thing, and that you have never gone against your conscience and that all you have ever done has been right, then, at least in your eyes, you have never sinned. Or to say it another way, you are perfect! Are you to ready to think that about yourself? Are you ready to tell others that? Are you ready to stand before God and tell Him that?
But a person may say, “I don’t feel like I am lost”, and may even take offense at such a suggestion, but the thing to keep in mind here is that God and His Word need to be factored in before coming to such a conclusion. What I feel like and what I have actually done are often two different things. When you get pulled over by a policeman for speeding, many times we don’t think we were speeding but the radar says we were. So with God’s Word we may not think we violated His Word, but He says we did when He tells us that “all have sinned…”. Please think about these things.