If you keep zooming without loosing anything, this would lead to too many wrong phenomena in physics. The most critical phenomenon I thought of is that the density of all materials will be the same, and will be veryyyyyyyyyyyyyyyyyyyyyyy huge that everything will collapse to a black hole :P.
Rutherford has proven that most of the matter is vacuum (review Rutherford's experiment), and from there people started to think how they can form huge objects like we live with from small units that share a lot with vacuum. The only solution was "atoms", where every few charges group together with their masses to form the very first unit of building everything. With the advantages of this unit we can build everything.
Actually this isn't seen only in microscopic behavior, but also in macroscopic behavior. If you review the big bang and check its results, you'll see that stars haven't gone alone, but created clusters of mass, namely galaxies.
A FACT WE DON'T UNDERSTAND AND WE'LL NEVER UNDERSTAND: EVERYTHING likes to be together, nothing likes to be alone ;)
I hope this answers your question :)