Essentially, they do it because they can. People expect advertisements on TV so they accept it even with a subscription to cable; cable offers value that otherwise wouldn't be available by offering a lot of channels that are not accessible over-the-air in any market. It's not like a website with a premium ad-free subscription where the content is the same, only without advertisements. Cable also prevents fiddling with antennae/reception, etc.

The cable company I'm sure would argue that your subscription fees pay only broadcast and signal transport costs and that the individual channels run advertisements to pay for their operation and production.