Because then you have control of your life insurance. You have no idea if your employer actually paid the policy last month - or the month before. They have no legal requirement to tell you when they cancel coverage - not in advance, and not retroactively, either.
In addition, if you leave your job for any reason, including being fired, company going out of business, or you quit working, you may be able to convert your group term life plan over into a permanent life insurance policy, but the rates will be much higher.
That's why it's important to have your now individual life insurance policy that will stay with you. And, by locking in coverage while you are young and healthy you guarantee you will have life insurance later on.
Here's an article that explains why do I need life insurance and points to consider based on your own personal situation.