As you are fully aware, Islam is not another religion but a set of permanent values that have been given to us for our benefit. To say “Why do we have to have only Islam as the state religion?” is like asking why we have to have only good, just laws for a country!
There is no separate religion and politics in Islam, it is a complete socio-economic system.
Other religions are just personal beliefs that cannot be implemented in society as a whole; Jesus said "do unto others as they do unto you", very noble sentiments, but the Levitical Bible law makes some aspects of the barbaric sharia laws tame in comparison.
Any other religion or way of life that someone wants to practice is fully protected by the Quran, and should be protected by the government that is calling itself ‘Islamic’. This does not happen in reality because people make up governments and the priests/mullahs have no idea what Islam is all about so you have to ask this type of question.