We do, but they cost extra, and they aren't necessarily nearby nor easily accessible, so for a lot of people, it isn't really an option. For instance, there is a university here where the nearest pick-up location is about four miles (7 km) away from the edge of campus in a location public transportation doesn't reach, which makes it impractical to anyone who doesn't have a car, and you might as well buy some of these items from stores closer. There are more people than there used to who choose to pay for them to avoid those thieves; said thieves have reacted by outright mugging the delivery people and looting the packages.
This also doesn't solve the fact that the majority of package thieves actually work for the delivery services themselves. Any time the package isn't monitored is a time it could potentially be stolen. For instance, here in southern California, there is a United States Postal Service distribution center in Bell, California, in which packages sometimes disappear. The tracking will have no further steps after reaching the distribution center, and your package will not arrive. Most likely, someone there is pulling strings to take packages without the recipient having any power to report it or stop it. Delivery insurance can compensate you for the cost, but you won't get the items you requested.
Indeed, that system is rife for the delivery people to take things from your garage. And it's already happened many times. The delivery person is supposed to take pictures and videos of the packages, but the fact remains that a stranger has access to your garage and can open it at any time.
Amazon's trying all sorts of ideas but not really thinking through how practical they are. They are trying to pioneer drone delivery services, but the drones themselves are completely exposed. They've been struck down with bullets, arrows, rocks, sticks, sports balls, and curious birds. They've been nicknamed "Animal Crossing Balloons" due to the means in which you can take whatever they're carrying: pop the drone and retrieve the goods.