If you cannot beat the market, why would you buy individual stocks over index funds?

The overarching theme of investing has been that you cannot beat the market and that there are very few people who really can. If this is the case then why does it seem like most people buy stock as opposed to an index fund or mutual fund?
Personally, in my non tax free (Roth) and non tax deferred (401(k), traditional IRA), I am pretty much in index funds – mostly S&P due to what I wrote above and also because they are tax efficient. Within my tax deferred and tax free accounts I diversify.