I wouldn't consider any other option. For one, I'm a slow reader, and it would take me ages to learn enough about, say, the Realms for me to DM a game set there. In my own world, I'm more confident of how it all works (even if I am making it up on the fly) - in an official world, I'd be afraid I might contradict something important down the line, and it ends up being more work remembering (or noting) what I've changed and what I haven't.
It also helps that I never really like offical D&D game worlds. I like aspects of them a lot, but in total they always feel (to me) a bit too much like the American West rather than Medieval Europe, be it in the social structures, notions of law enforcement, businesses (the starter set has a "general store" for instance), the scale and design of physical structures, a "frontier" setup (large wilderness areas; tribes of Humanoids in them thar hills), or place-names.
There's nothing wrong with official game worlds, and they do many things a lot better than I do, but nevertheless, as a history buff I just prefer to go with a Medieval feel.
I also don't like the hotch-potch of eras thrown into vanilla D&D and official game worlds (e.g. chainmail alongside plate, rapiers alongside heavy armour, stupid armour types that never existed, and so on). While I'm not going for anything like total realism, it has at least not to jump out and say "could never have happened" in bright flashing letters. In my own campaign, I can have a more consistent tech and culture level and that makes the autistic, fascistic history nerd in me happy.