It is because we have evolved so that our internal pressure matches the atmospheric pressure, so we are in equilibrium. When you go up in an airplane, your ears tend to hurt until you can get them to pop because, at that altitude, your internal pressure is greater than the external pressure, so until you can get your ears to "pop" - that is, your internal pressure to equalize with the external pressure, you feel pain.
Now, because physicists always like to think of what happens in the extreme, let's ask: knowing that your internal pressure is equalized by evolution to atmospheric pressure of 14.7 pounds / square inch, what would happen if:
1) You go into space without a space suit? - you would stretch out like a balloon, due to the elasticity of your skin; then you would burst due to the fact that your internal pressure is 14.7 pounds/square inch but the outside pressure is ZERO!And then all the liquid in your body would instantly freeze. YUCH!!
2) What would happen if you go to the bottom of the deepest part of the ocean without a diving bell? You guessed it: you would implode due to the excessive external pressure!