There needs to be some source from which the laws of the state are derived.
In a past age, the people who ruled by force of arms got the priests on their side and told them to say that their authority was derived from God himself, that they personally were a symbolic representation of their state's very sovereignty. And people bought it and whole societies were born and held together and died for one person because of an idea.
The USA however came into existence during an age of rationalism and was born from war and violence. Sovereignty was derived from founding documents based on the tenets of liberalism. But the stability of the body politic over a long period of time was ultimately what cemented the authority of those founding documents.
1) Some people nowdays who live in and advocate monarchies worry that if they were to change their form of Government, the derived authority of their new constitution might be too fragile to survive an unforeseen political crisis; that it would be safer instead to leave things be.
2) Some war veterans may hold an understandable emotional attachment to the idea that they quite literally fought for the King (or Queen).
3) A third sort are social climbers who like cucumber sandwiches, horse racing, Janette Howard, and grovelling to their "betters".
The first reason is the only potentially pragmatic one I can think of, the second is sentimental, the third is small and greedy.
I'm neither of those three however and look forward to my own country becoming a Republic.
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