Because Jesus commanded believers to do it. It draws out faith to begin your life of whitnessing by first doing it in front of your congregation. Its also a way of initiation. Its similar to communion and the laying on of hands. Its beautiful, and engages the senses. It's a symbolic continuation of the Jewish mikvah....and it represent the initial spiritual baptism that happened when that person believed.
To the thief on the cross, Jesus said "today, you will be with me in paradise"....no opportunity for a baptism there. He literally had NO opportunity to DO any work, he only believed
. And to the paralytic, he said "child, your sins are forgiven"...no baptism, only belief