Because the Holy Ghost REGENERATES the sinner, and the New Birth occurs at the moment of believing on Christ (John 1:12,13; Tit 3:4-7). To be saved is to be regenerated, and unless the sinner is baptized WITH the Holy Ghost and thus receives the gift of the Spirit, there can be no regeneration. Please note, I did not say "of" or "in" but with the Holy Ghost.
I indeed baptize you with water unto repentance: but he that cometh after me is mightier than I, whose shoes I am not worthy to bear: he shall baptize you with the Holy Ghost, and with fire (Mt 3:11).
On the Day of Pentecost.
ACTS 2
[36] Therefore let all the house of Israel know assuredly, that God hath made that same Jesus, whom ye have crucified, both Lord and Christ.
[37] Now when they heard this, they were pricked in their heart, and said unto Peter and to the rest of the apostles, Men and brethren, what shall we do?
[38] Then Peter said unto them, Repent, and be baptized every one of you in the name of Jesus Christ for the remission of sins, and ye shall receive the gift of the Holy Ghost.
[39] For the promise is unto you, and to your children, and to all that are afar off, even as many as the Lord our God shall call.
[40] And with many other words did he testify and exhort, saying, Save yourselves from this untoward generation.
[41] Then they that gladly received his word were baptized: and the same day there were added unto them about three thousand souls.