Why don’t United States Senators have Secret Service or at least US Marshals protection?
It would cost too much and then everybody would want it - cabinet secretaries, representatives, judges.
Senators do get protection if they run for president - and it seems like most of the do run at one time or another.
Congress is protected by US Capitol Police. Capitol Police answer directly and only to Congress, and have jurisdiction anywhere there is a Congressman. They need to be requested on a case-by-case basis. If a Congressman wants to play macho and go it alone, not much can be done.