Then you have a very limited view of history. Crime, theft and murder used to be extremely more common.
You may be able to defend yourself against your neighbor. What about women and children? What about against multiple aggressors, or ones with better weapons? Turns out, without an effective police force, liberties are distributed a lot less equally...
Steve Pinker explained in a TED talk that hunter/gatherer societies are a lot more violent than modern societies. For example these groups have to launch preemptive attacks against neighbors if only for fear of the other group striking first.
And if your neighbor is bigger and stronger than you? If 100 of your neighbors get together to take your stuff? If 100 of your neighbors independently want your stuff?
At the absolute barest minimum, even disregarding any context, it's better to have to one known entity demanding a share than an unlimited number of unknown ones doing the same.
Looking back at history, I vastly prefer the balance of liberty afforded by strong governments in the western world to the lack of such control.