Because your reason rejects it . Take The Outsider by his friend Camus .The character kills shoots dead the stranger on the beach for no reason other than he felt like it . This is in line with you make your own rules ,but breaks natural law . The stranger had a right to life and the value of universal law because if everybody had the right to do it no one would be safe .On this same reason Nietzsche is wrong because under natural law everyone has the right to life and Nietzsche's strength of will allows you to do whatever you want to achieve you ends
It's actually quite interesting. Perceiving Reality