Because any country bigger than the UK or composed of federated states isn't a democracy? Or should we also seek to return to the traditional kingdoms of the UK and bring back Mercia and Wessex? Heck, flowing power from Westminister into those state-level regions and making the UK an explicit federation arguably wouldn't be a bad thing.
How is a United States of Europe in itself undemocractic? If the disagreement is how to structure it, that's a different issue. Part of explicitly federating would be deciding where the State vs Federal power lines get drawn afterall. If anything, making it explicitly federated would require drawing those lines into a constitution a lot and so help prevent the flow of more federal power than what constitution specifies away from the member states.
You may dislike that the current structure of the EU puts the Commission as nominated by State Representative's and then confirmed by People's Representatives, who then propose legislation that is then confirmed by People's Representatives, rather than directly from People's Representatives. But to be a member of the EU you have to be a democracy, so it's still People's Representatives via the State, so it's still a democratic system. It just puts nationally elected State above regionally elected People, which is probably a necessity when you're deliberately trying to avoid being an outright federation.
So yeah, I've never got the "EU is not democratic" argument. "I don't like the form of democracy it uses" is a valid one sure, but if anything I think a lot of that comes from them structured to avoid being federated from the start.
If the USA changed so that rather than having a President elected by country-wide election the position was voted on by the chamber of each State, who was decided by majority control of that state, that would still be a democratic system. And if it's not, pull on that thread and it becomes pretty clear the only thing that could be counted as democracy is Direct Democracy in which all citizens can both propose and vote on legislature and...that wouldn't work for populations above a dozen or so.
I mean, long term I think countries should declare "United States of Earth" as an end-goal for the UN. But I reckon as a species we either will form a federated elective from all nations or die in nuclear fire, and I'd like to avoid the latter. But maybe that's for the "unpopular opinions" thread. (That doesn't mean I think we should do it now, just that part of evaluating decisions should be "Does it take us closer to this ideal that we hold?" and if the answer is "no" that's a mark against that course of action that needs to be overcome by both the short-term benefits whilst ensuring future repealability)