If you want a cake, you can purchase one from a bakery. Or you can purchase the ingredients separately and put it together yourself. Baking your own may save money, but it takes effort. Same with shopping for natural gas. The utilities say they don't worry about losing gas sales.
Utilities make their money based on their investment in gas lines, meters and other equipment.
Customers will continue to pay for those items even if they switch suppliers. But utility companies are forbidden from making a dime on the gas they sell. And that doesn't give utilities any incentive to be aggressive in purchasing their gas supplies. Outside suppliers, unbound by those PUC rules, on the other hand, operate like any other business. They try to buy gas at a low price, resell it to customers at a higher one and pocket the difference.