Not enough air, and it's full of nitrogen.

LOX is 1141g/L at its condensation point (~54K) and I think rockets make it even colder to increase the density a bit higher, while atmospheric air is only ~1.3g/L.

Compressing it at ~1000:1 would take some pretty epic equipment, and then it'd be way too hot.

Even if you somehow manage to sort that out while still having a launch TWR > 1, air is still only ~19% oxygen or so, meaning the fuel wouldn't be able to burn effectively.

Furthermore, the atmosphere gets even thinner within a few dozen seconds of lift-off, so you'd still need to carry oxidizer anyway - and the little bit extra it takes to get up to that point is far lighter and simpler than having the rocket itself run on atmospheric air for half a minute.

It's much more sensible to process it as much as possible on the ground, and load LOX into the rocket.

Having said that, companies that strap their small rockets to aeroplanes are technically already using atmospheric air for that phase of the flight - but the type of engine required is radically different, and those rockets have to be relatively tiny because aeroplanes can only carry so much mass.