Because it was a massive gamble that they are willing to take in order to break free of the Cocoon Fal'Cie's control of humanity?
For their entire lives, the Cocoon humans have been taking orders, living off fear or just live by what the Fal'Cie tell/mold them to. The humans were just pawns, being manipulated without knowing just so that they will eventually become a sacrifice for the Fal'Cie to bring back the Maker. Cocoon is just a shell world for manufacturing humans for that simple purpose.
When Lightning and the other characters found out the truth through their journey, it was up to them to decide what will happen, even if in the end they were still going by the Fal'Cie's wishes and orders to destroy them.
If they have the power to destroy Cocoon, then they will also have the power to save it. This funnily enough was something that Hope said. Talk about irony there. And since Fang and Vanille are Ragnarok, they were all "Let's create a miracle!"
The whole point in the end was that humanity's own fate is up to their own hands, not the Fal'Cie, who wanted the death of everyone including themselves just for their own selfish gain. This is what Lightning and the others were fighting for.
The whole theme of FFXIII is the circle of life and death, humanity and the Gods, and with a very underlining religious thing going on.