Because centralization is more efficient. I have no idea of what the actual numbers are, but suppose the federal government employs 10000 people to run the Social Security Administration. Should Social Security be turned over to each state, further suppose that each state will have to employ on average 500 people. 500*50=25000, or almost three times the number of people employed at the federal level. That means three times the number of paychecks that have to be funded out of the state level, three times the amount of benefits to be funded at the state level, etc. States are already broke: they can't afford to assume those responsibilities.

You can say that what people pay to the federal government would be turned over to the states instead, and this would be correct. The question then becomes, how do you handle people moving between states? Do you really think that Floria, Texas, or Arizona will be happy to all of a sudden be supporting the Social Security and Medicare payments for the hundreds of thousands of retirees who never worked a day to pay the tax in those states? If your answer is for the states in which people paid the tax to the states supporting the people... well, the complexity and bureaucracy requirements are absurd - and with no guarantee that cash-strapped states will honor a commitment to give away such huge portions of their income/bankroll!

On a higher level, I really don't understand the point of you asking such questions as this, or your democracy-communism question... not to be a dick about it, but the answers to the questions you're asking are blatantly obvious the minute you stop to think about it.