Probably because the monarchy isn't elected and so might maintain some ability to persevere through times when the population might make poor decisions. Also immune to bad elections.
Heads of state (eg presidents) are frequently not elected, but instead appointed by heads of government (eg prime ministers). Heads of state are symbolic and do lots of ceremony (some have a bit of power), and heads of government are where the power sits. Heads of state can usually have the power to dissolve government in a crisis, but they can't appoint government (in western democracies).
The US is a little unusual amongst Western democracies in that the head of state is the same person as the head of government.
