Because Catholicism asserts it is the "one, true church established by Jesus Christ" and they alone have "the fullness of the Christian faith". I disagree (the Eastern Orthodox do, as well) and this is one of the areas that gets a lot of attention this time of year with "All Saints/Souls Day". The doctrine of Purgatory was not an Apostolic teaching but was the product of development over the centuries which led to numerous abuses and heresies.
You'd be hard pressed to find a Catholic on FR that disagrees with the following:
"One indeed is the universal Church of the faithful, outside which no one at all is saved, in which the priest himself is the sacrifice, Jesus Christ, whose body and blood are truly contained in the sacrament of the altar under the species of bread and wine; the bread (changed) into His body by the divine power of transubstantiation, and the wine into the blood, so that to accomplish the mystery of unity we ourselves receive from His (nature) what He Himself received from ours."
--Pope Innocent III and Lateran Council IV (A.D. 1215)