There are three reasons why.
- Jesus was killed by the Romans. It's true that the Jewish authorities who were afraid of what he might do to their positions of esteem cajoled, manipulated, and persuaded the Romans to enact a death penalty, as they had no legal right to do so themselves under the terms of the Roman occupation of ancient Palestine. But the Romans ultimately bear this accusation upon themselves; our very own creed says "He was crucified under Pontius Pilate" who was the Roman authority at that time and place. From a strictly legal perspective, the buck stops there.
- I killed Jesus. The single fact that I must accept before coming to peace with God is that Jesus took upon himself the punishment for my sins. Scripture tells us that the price of sin is death, and the gift of God is eternal life. The only way for me to win eternal life is to accept this amazing gift of God, and to allow him to take my sin and shame and die with it on the cross. God transfers my guilt to his unguiltable spirit, and in dying he eradicates it from existence.
- This leads to the third point: if Jesus did not come to eradicate my sin by paying the price that only he could afford, I would be forever damned. So I say thank you to whomever is responsible for causing the literal, physical death of Jesus, be he Roman, Jew, or my old self - for without that divine death I could never know immortal life.