Why would you have to file a 1040?

If your weekly paycheck says that federal and states have taken taxes from your weekly earnings, then why would anyone under these conditions have to file a 1040? It doesn't make sense. I've payed my taxes on a weekly basis, yet the IRS says it is with " voluntary cooperation" that we file a 1040. Define their words. Is it the law to file a tax return if you already have taxes taken out of your earnings? If for some reason you owe more than whats taken out, why didn't they take more out in the first place? Or take more out in the future? Answering these puzzling questions would allow me to sleep at night again so please.