Because guess what? It's a REAL relationship. It's based loosely on someone who's there for you, to support you, and listen- and call you when you speak utter nonsense.
It's a controlled relationship, but for many people, it's the first (and sometimes only) completely supportive person in their lives.
We anguish over it because we're trusting them with secrets we've kept from both others and ourselves.
And when you tell your secrets, you tend to get attached to someone. That's just how it works.