People won't give up statism because it's tied to myth and identity
I think Murray Rothbard put it well when he said that once upon a time, wars between rulers were seen for what they are: wars between rulers. But the rise of nationalism, particularly after the 1800s, helped obfuscate the nature of political conflict and make people believe that wars were between nations; essentially, my tribe vs. yours. It tapped into a very primitive and hard-to-quell aspect of human nature, and the result is that now, people view criticisms of the state as criticisms of their nation, their family, which needless to say is not easy for many to handle.
Mythology is also a powerful tool in the maintenance of state rule over their cattle. Myths are frequently told in order to add a touch of magic to otherwise ordinary phenomenon which would not be tolerated if people viewed them literally, such as in the case of state extortion. You'll hear all sorts of myths depending on where you are about how the nation was born, how the state was born out of a unanimous agreement between the government and the governed, etc. What's sad is that even among libertarians, who are often minarchists, people will tell stories about how the birth of a state allowed for law and order which allows people to have wealth and political freedoms that otherwise would not have come about, implying that if you enjoy the life you have now, you owe your gratitude to the state.
I think the difficult task here, for voluntarists that is, is getting people to disconnect their emotional ties to their nations from the idea that you need a state in order to have it. You can have cultures, civility and economic luxuries without a violent ruling class imposing their demands on everybody. It's a difficult task, but one that's imperative in the effort to create a free world.