I think because God gave everyone complete freedom and with that freedom complete responsibility.

Then he gave commandments how not to use that freedom for evil.

Then everyone was disobedient to God and failed to keep his commandments in one way or another. Therefore God's wrath.

But God didn't create everything to be destroyed, so he wanted to save people from his own righteous wrath, so Jesus gave his life in our place, satisfying God's wrath for us, so everyone can now also be saved through Jesus.

So if you're not under Jesus' mercy, you're still under God's wrath.