Here's the parallel: alcohol.
You can go to a liquor store and buy a 12 pack for $20, take it to your house and drink it.
Or you can go to a bar, buy a beer for $6 and drink it there.
Why is the bar so much more expensive? Because of all the stuff that isn't the beer. The building, the decor, furniture, staff, washrooms, entertainment, etc. Those all cost money. And the bar has to make a profit. That's why the bar won't let you bring your $20 12 pack in and drink it in there, even if you offer to pay an entry fee (cover).
Paintball is the same, plus there's safety concerns.
It costs a lot to run a field (especially indoor). We (field owners) make our money selling paintballs. The same way a bar makes money selling liquor. Sure, you can buy both cheaper somewhere else. But you can either drink your beer on your couch at home/shoot your paintballs in your backyard, or you can drink my beer/shoot my paintballs in a nice facility. Sometimes you want to do one, sometimes the other, that's cool. But you can't do both at the same time.
And safety. There's some terrible paintballs out there. Even good paintballs improperly stored turn into bad paintballs. Do you want to be shot by someone who has kept their paintballs un-sealed in their cold garage all winter? I don't, and I don't want you shooting my customers with those.
And a minor thing; cleaning. Not an issue outdoors, but huge issue indoors. Some paint is a ton easier to clean than others. We obviously sell paint that's easier to clean as we have to clean it.