Because Jesus told us to pray to Our Father.
What about Jesus' invite to openly "sup" with Him? "Here I am! I stand at the door and knock. If anyone hears my voice and opens the door, I will come in and eat with him, and him with me." (Rev. 3:20)
I guess if we got ahold of LDS apostle Bruce McConkie's notes from the '80s, we'd see Rev. 3:20 excised from his Bible. [That would be seeking a "special relationship" with Jesus]