Because we don't know what we need. St. John Chrysostom answers your very question:
For He knoweth," saith He, "what things ye have need of." And if He know, one may say, what we have need of, wherefore must we pray? Not to instruct Him, but to prevail with Him; to be made intimate with Him, by continuance in supplication; to be humbled; to be reminded of thy sins.