It's happening because the people voted for it in a referendum. Calling it off would be seen as ignoring the wishes of their constituency. Their reasons for voting that way in the first place are varied, many UK citizens (and people in other EU member states) don't like the idea of giving up some of their country's autonomy/sovereignty to a central authority they had no part in electing/appointing, and they may disagree with some of the policies imposed on them by that authority.