Because though their confession is very good, it can't change their state of damnation, or their condition. The demons believe and confess Christ for who He is, but they do not love, or obey Him.
Mat 8:29 And, behold, they cried out, saying, What have we to do with thee, Jesus, thou Son of God? art thou come hither to torment us before the time? See also Mar 3:11, and Luke 4:41, 4:34
Their proclamation and confession of who Jesus Christ is, does not justify them in their damned state, it only increases their torment; they shudder with horror, they believe and tremble, are increasingly tormented; but they have no desire to change the state of their conditions.
Many people who sit in pews on Sunday, are in this same category. They believe in the existence of one God. How far their knowledge may extend respecting God, we cannot know; but they never go beyond this point. There is never evidence in their conduct, or change of lifestyle, that proves that they have opened their heart, and allowed Jesus to enter their souls, and abide in them. There's no evidence in their life, that they have taken the step Jesus tells us we must do, to be truly saved-which is to be born again.
Joh 3:3 Jesus answered and said unto him, Verily, verily, I say unto thee, Except a man be born again, he cannot see the kingdom of God. (it will be a good idea to read all of ch. 3)
Jesus’ reply to Nicodemus shatters the Jewish assumption that their racial identity - their old birth - assured them a place in God’s Kingdom. Jesus makes it plain that a man’s first birth does not assure him of the kingdom - only being born again gives this assurance.
This act of being born again, happens when the person sees in his mind and understands with his heart that Jesus Christ is the promised Messiah prophesied in the Old Testament-and believes He is the Son of God, indeed-God in the flesh, and confesses this with his mouth, and repents of his sins, and surrender's their life to Jesus, making Him Savior and Lord of their lives.
John Wesley brings out some good points:
"Thou believest there is one God - I allow this: but this proves only that thou hast the same faith with the devils. Nay, they not only believe, but tremble - At the dreadful expectation of eternal torments. So far is that faith from either justifying or saving them that have it."
A living faith in Christ will be evident in the person being willing to give of time, and money, as God enables them, and a pattern of good living habits. There's much teaching on these principles throughout the Bible, and takes a lifetime to put into practice. There will be a boldness in their confession of faith in Christ, they will not be ashamed to speak of their faith and love for Him, and will be open in their defense of Him, if they see the Name of Christ reproached. They will not avoid persecution, but will be courageous in standing for their faith in the midst of adversity, and scorn. This is living faith. Jesus tells us, if we are ashamed of Him before people, He will be ashamed of us, on Judgment Day:
Mar 8:38 Whosoever therefore shall be ashamed of me and of my words in this adulterous and sinful generation; of him also shall the Son of man be ashamed, when he cometh in the glory of his Father with the holy angels.
But, it's a choice. Satan was thrown out of heaven because of his rebellion against God, that's why the demons cry out to Jesus, but will never change, because they were thrown out of heaven at the same time as Satan. A third of the angels were cast out with him, and are here on earth now, tormenting people, and deceiving them. Jesus said he saw Satan fall from heaven. For reference to this read Isaiah ch. 14 and Luke 10:18-and corresponding verses.
Luk 10:18 And he said unto them, I beheld Satan as lightning fall from heaven.
Many who speak of faith in God is well and good-but the question is...Who is your God? What is His Name? This is the defining difference between living faith, and dead works, and dead faith in a false god. Peter breaks it down very well in Acts ch. 4-
Act 4:10 Be it known unto you all, and to all the people of Israel, that by the name of Jesus Christ of Nazareth, whom ye crucified, whom God raised from the dead, even by him doth this man stand here before you whole.
Act 4:11 This is the stone which was set at nought of you builders, which is become the head of the corner.
Act 4:12 Neither is there salvation in any other: for there is none other name under heaven given among men, whereby we must be saved.
We are living in a day, and an hour, when the dividing line is getting much clearer, and more dangerous. God's people are going to be tested in this area, to a much greater degree. Those with living faith, and those who are pretenders-will be clearly seen.
I'll leave this with a question:
Is what your living for, worth dying for?