Because they would like to be able to continue breathing ?
And, unfortunately, that picture is not uncommon or an exaggeration.
Homes in most of western China heat and cook with charcoal. The charcoal guy rides up every day to deliver loads of 1 kilo bricks of the stuff. When a cold snap happens, he delivers twice a day, and you have pollution like your picture. I was working in Nanjing that is powered by hydro. Not a coal burning plant in sight, but when it got cold, the streets look like your picture. It stinks too, 'cause it's not Kingsford.
It is entirely possible to burn coal for central station electrical generation and not have your cities look like that. Electrostatic precipitators, filter baghouses, and sulphur scrubbers are all mature technologies.
In Beijing, Shanghai, or Shenzhen those photos are largely exaggerated.