Because he wanted a male hier...really bad.

Cathrine of Aragorn was his first wife. She was originally supposed to be married to his brother however he died before they could consummate the marriage. However the lack of a male heir upset Henry to the point he asked a divorce however at this point in divorce was not supposed to be allowed. So he defected from the Pope and started his won religion where he then trial style debated the legitimacy of his marriage to Catharine of Aragorn. On the basis that he was not sure that she had not consummated her marriage with his brother.

He then married Anne Bolyen. Ann Bolyen was a lady in waiting of whom he was having an affair with. She produced a daughter (The future queen Elizabeth) however no male heir. Henry, annoyed at this and being talked by his advisers came to the conclusion that Anne Bolyen was cheating on him with her brothers. She was sent to tower of London and then beheaded.

Another lady in waiting was Jane Seymour who he much loved and success! Produced a male heir. However with a day she had died from complications during childbirth.

Distraught but knowing he had to marry he married Anne of Cleves. He had never met her before the wedding and had only seen her through a painting. When he did meet her he was disappointing with her appearance and the marriage was annulled.

He then married Cathrine Howard. Yet anther lady in waiting and Anne Bolyen's cousin, she was his youngest wife. After a short marriage it became apparent that she was cheating on him, after finally accepting the news he then sent her be beheaded.

His last wife, Cathrine Parr actually survived him. She was going to be arrested but managed to avoid it. She helped to fix the issues with him and his daughters and allow them to succeed after their brother Edward.