If you mean the Catholic Church then I can easily say why I belong: The Catholic Church is the ONLY Church founded by Jesus Christ himself, it is the Church of complete TRUTH, and it is the Church where I receive Jesus Christ Body, Blood, Soul and Divinity each time I go to Holy Communion, it is the Church where I confess my sins and I get to physically hear through the priest serving in Persona Christi (the person of Jesus Christ) that my sins are forgiven. Many many more reasons but those are the main ones.
Now if you mean the actual physical Church I attend it’s because that is the ONLY Catholic Church in this town where I move to when I got married. Been attending here for 32 plus years. Before that I attended the ONE Catholic Church in my home town until I got married.
Nothing wrong with any other Churches but if I only go to Church to hear great music, or a fun sermon, or to fellowship with food and treats, or to feel good then I’m missing the boat. I read once and I mean NO disrespect but “Members of other Churches only get to look at the menu, Catholics get to enjoy the meal”. I know in the Catholic Church that what we do today is essentially the same exact thing done for over 2000 years. I know that I can go to any Catholic Church in the world and essentially (even though there is a difference in languages, forms, etc) the Mass will be the exact same in all of them. That is why I belong to the Catholic Church.