Mostly because that's how the media has portrayed intelligence agencies. Actually one of two extremes: Either they are boneheaded incompetents, or they are the All Seeing Eye of God. Real world intelligence does it's job fairly well. It's just that there is an ocean of information to swim through, and they only have snorkeling gear.
Try the BBC TV series Spooks. Of course, in some things they're still quite powerful, but it definately is one that shows their weaknesses and failures almost more than their successesl (and not in a 'CTU-infiltrant of the week' way
). Although in the end, of course, in most things they prevail, but almost always at a cost.