Because SHIELD turned out to be a militarized police force which neo-nazi Hydra corrupted(*Captain America: The Winter Soldier*) from the inside, using SHIELD to create weapons of mass destruction(*The Avengers/Avengers Assemble*: Steve Rogers finds weapons based on Tesseract) and planned on killing people for potentially being dangerous to the new world order(*Captain America: The Winter Soldier*). 

At the end of *Avengers: Age of Ultron*, Fury's SHIELD acted as peace keepers and rescue, saving people, not policing them.