Because the states function is to reproduce the separation of the material community, a product of classes, and is specifically an apparatus of power of one class.
The workers create their own "state", but it is a state only in the sense that it is a tool for working class power, but it doesn't do anything to reproduce class divisions, the more it is successful, the less of a political function it has, and the less it is organized to facilitate political functions. It is a state, which is quite opposite the traditional state, which is for preserving the status quo.
"All the palaver about the state ought to be dropped, especially after the Commune, which had ceased to be a state in the true sense of the term. The people’s state has been flung in our teeth ad nauseam by the anarchists, although Marx’s anti-Proudhon piece and after it the Communist Manifesto declare outright that, with the introduction of the socialist order of society, the state will dissolve of itself and disappear."
Engels then goes on to even suggest that the term "state" be dropped when referring to the proletariats' dictatorship.
I respectfully disagree with him, but you get the point. I merely keep the word "state" to be consistent with definitions, but this is hard in a dialectical framework, as everything is transitory and changing.
In terms of what Anarchists think of when they hear the word "state", that is not what (actual) Marxists are talking about when discussing the DotP.
It isn't that we are positing a specific strategy along the lines of "use the state". We are explaining that any organization that the proletariat uses to free itself is, by definition, an apparatus for it to exert class power. The word for that apparatus is "state", regardless of if it is used by the vast majority simply to overthrow the rule of the bourgeois minority.
An oversimplified, but perhaps still useful example might be thus: When saying that the state "withers away", we mean that, as the bourgeoisie are defeated and completely expropriated, we have less use for a militia attached to whatever we are using to organize the economy, eventually there is no longer such a thing as "class", and there is no more threat to guard against, the political aspects of the organization disappear, and the only thing left is the economic organization (which has radically changed during the process as well, as the working class gets more of an opportunity to reorganize society, destroy the alienating process of labor known as "work", etc.).
