I think it's because it makes everything your own choice, and, if it goes wrong, your own fault. If nothing is preconceived, there is no "natural order", which means the responsibility of knowing the "right" from the "wrong" thing is entirely on you. People like to imagine that there is some higher order that will punish people for harming others, but, you know, there isn't. Accepting that there is no natural order is a huge step towards accepting that the only person who can make sure that you won't come to any harm is you yourself. That is sort of scary. On the other hand, there's no point in denying it, because by denying it, it's you who's harming others.

This is also why people are so extremely susceptible to dogmatic religious brainwashing. Yeah, you might never have an independent thought of your own, but at least you'll have order! That's a different rant though.