The electorate as a whole doesn't care all that much about federalism—subtle points of political theory are lost on the average voter, and even on the average legislator. But politicians know when they gain or lose power, and they prefer the former to the latter. If senators were selected by the state legislatures directly, the entire mission of the senate would be to preserve or increase the power of state governments. Every senator judges bills based on how they affect his constituency (and thus his chances for reelection). Make that constituency a state's government rather than its electorate, and you make the senator a rabid federalist as a practical matter, even if he doesn't know what the word itself means.
Furthermore, a small body of political sophisticates like a state legislature is more trustworthy in some ways than a large body of indifferent and uninformed voters. The state legislature would be more likely to remember the senator's misdeeds six years down the road, and less likely to be swayed by demagoguery. Obviously we can't leave government exclusively to the elites (which is why we still need the House of Representatives), but we are a representative republic—taking some decisions out of the hands of the plebs and putting them in the hands of people selected for their ability and willingness to shoulder the responsibility is a cornerstone of American democracy.