One reason is that you get greater returns by diversifying. Unfortunately, diversifying correctly is hard. A second reason is that younger people typically can afford to invest more aggressively and older people should typically invest more conservatively. So an investment strategy depends on your personal goals and attitude towards risk. Finally, it doesn't take personal aptitude into account. By investing in an index fund you can inexpensively get average performance, but you can get greater gains by investing your money in a way where you can do better than average. Start a company, real estate, art, etc.

This is a pretty great intro: http://jlcollinsnh.com/stock-series/