I suppose because they do not know any other way to soothe themselves. I know it runs the gambit from alcohol, pills, drugs and in my own case food. It is also a way (in the beginning) to feel as if you have this one thing that you control in what may seem like an uncontrollable life. It is false of course because eventually the addiction rules the person rather than the other way around.
It is a way to alleviate pain and feel in control of it--though you really aren't.