You'd have to put that question to the companies who ask for them. All I'm saying is that utility bills are widely considered acceptable as a means of proving your address.
Of course fraudsters are able to forge all kinds of documents, but even a genuine one doesn't really prove anything other than the fact that you're able to get access to mail addressed to you there.
Short of stationing an investigator in front of the building to monitor your coming and goings it's hard to prove that somebody actually lives at an address. For example, I have a BT phone line installed in my mother's house in the UK which is in my name, but I actually live almost 7,000 miles away in SE Asia.