Because renewables, while cheaper, have their share of problems, the first one is that you cannot (yet and completely) store what they produce. Oil in more something like "on demand" in some aspects, people generally expect that when they want hot water they have it, not that they need to plan when to use it.
Another big problem, actually, is that renewables tends to not be available when you need them the most (this derive from the fact that for now we have limited storing capacity): wind turbines have speed limits to not break and solar panels need at least a certain exposure to produce for example.
Other sources could not be available everywhere or be economically justified.
Nobody really like to pay more, it is simply that for now oil and gas are seen as more reliable than renewables, and this offset the fact that they are more expensive.
This will change in the future, no doubts, but the solution is a lot more complex than simply saying "renewable are cheaper".