Because every student of military tactics knows that it's necessary to account for every potential threat, and the potential for a nuclear attack on the United States is much greater then zero.
It's also necessary to assess our possible responses.
North Korea launches a shipboard based Tae Po Dong nuke to Los Angeles. It hits Anaheim, wiping out Mickey Mouse.
Will the US respond by nuking Pyongyang? Is China going to sit still for that? What are the ramifications? North Korea could easily feel protected by China and launch on a madman's whim.
If Terhan nukes New York, will Russia sit quietly by to eat the radioactive fallout from our response? Perhaps it would be politically inexpedient to respond in kind. Certain presidents, like the last four, value the opinion of the UN over their own constituents. Obama's second term won't be run seeking votes for Obama, it's very easy to imagine he'd refuse to nuke a muslim nation for an attack on the US.
It's orders of magnitude better to stop the missile in mid-air and embarass the crap out of the attacker than to contemplate the possible responses, especially considering the large faction of traitors in the US who opposed any military response to the 9-11 attacks.