This only happens to new Wordpress users, where they only know about Wordpress.Com for free blogging. Please keep in mind that all free services have their limitations… 
Please read complete explanation from Wordpress.Com about this,
WordPress.com Benefits
- It’s free and much easier to set up
- Everything is taken care of: setup, upgrades, spam, backups, security, etc.
- Your blog is on hundreds of servers, so it’s highly unlikely it will go down due to traffic
- Your content is backed up automatically
- You get extra traffic from the WordPress.com community — including blogs of the day and tags
- You can find like-minded bloggers using search and the reader
- Your dashboard is secure (SSL) making it even safer to log in on shared networks
WordPress.com Cons
- We provide 160+ themes (and adding more every day) which you can modify and edit the CSS, but you cannot upload a custom theme
- You can’t modify the PHP code behind your blog
- You can’t upload plugins
WordPress (self-hosted) Benefits
- Ability to upload themes
- Ability to upload plugins
- Great community
- Complete control to change code if you’re technically minded
WordPress (self-hosted) Cons
- You need a good web host, which generally costs $7-12 a month, or thousands of dollars per month for a high traffic site
- Requires more technical knowledge to set up and run
- You’re responsible for stopping spam
- You have to handle backups
- You must upgrade the software when a new version comes out
- If you get a huge spike in traffic (like Digg or Slashdot) your site will probably go down unless you have a robust hosting setup