Typically, they want them to be illegal because they consider them morally close or identical to murder. One might not vote for the legalize-murder party just because the stats say fewer murder happen when they're in power, preferring to vote for make-murder-illegal party that'll try to outlaw it entirely.

That my fellow Dems so often paint this position as plainly stupid or obviously wrong is a frequent source of frustration for me, and why I usually just avoid engaging in discussion of the topic (whoops). Not accusing you of having done that, mind you, I just see it a lot.