For the same reason we have nerves anywhere else in the body: to signal, through pain, when something is wrong (infection, trauma, etc.) It used to be thought that people with leprosy had super human strength. But one day a doctor who lived in a leper colony to care for them asked a patient to get a stuck sink valve unstuck. The patient succeeded but the doctor noticed the patient's hand was bleeding afterwards. He came to understand that the patient did not have superhuman strength. What the patient did have was a reduced ability to perceive pain, because the patient's nerves were damaged by the leprosy. So, a healthy person would have stopped trying to turn that stuck valve because the pressure of the metal on their skin would hurt. But a patient with leprosy would keep going because they couldn't feel the metal damaging the tissues in their hand. Similarly, diabetics with poor blood sugar control eventually lose sensory nerve function in their lower extremities, and can suffer damage to their knee joints and the soft tissues of their feet without even realizing it.

Nerves offer us a feedback mechanism. Touch stove equals hot equals perceive pain equals pull hand away. If we lack this feedback mechanism, we damage ourselves. If we could not sense pressure and pain as we bite down, we would probably end up shattering our own teeth by biting down too hard, because there would be nothing signaling us to stop. Nerves are important! It's no fun when they signal the pain of a bad toothache, but ultimately they help protect us.