Because the present is so much shittier than the past that there is ample evidence the future will be worse. Because well the human condition.
Because it works well for drama. Stories set in the present lack the ability to show out of this world extremes. Ones set in the past tend to not be as relatable, they don't have the "this could be us" factor because everything past has already happened. And fantasy land happens to be amazing for kids stories, so that takes the bigger share.
Because the human soul is darkness