Because 99% of the time that is the first response one gets when saying they vote third party
If you vote 3rd party you give credibility to the system because they simply count involvement in the process. Also, the candidate you vote for will have an impact on policy, so if you don't support their policies it can have a negative impact.
If you truly feel it is a waste of time then I would say not voting is a stronger signal. If 50% of the populace didn't vote then it completely undermines the credibility of the process.
However they are moving rapidly to make sure we have 60+% voting and they vote exactly the way they are told. Since you don't control the media you can't stop this process, so even attempting to undermine the credibility would be a waste of time.
The only thing that will truly have a positive impact is prayer and the gospel. If people are saved and their conscience is quickened we will get people behaving courageously in being whistleblowers, exposing the corruption and crimes of the elites. This battle will be won, not by might nor by power or money or propaganda, no it will be won by the Lord's Spirit moving and operating within people to stand against Satan, lies, theft, and murder.