Government investment in the arts

We are constantly told that government investment in the arts is a good thing for the return on investment is rather large.  Here is Will Hutton in the Observer:

The Treasury archives are groaning with economic impact studies commissioned by arts bodies over the decades, all of which show that a pound invested in museums, theatre, film or music will deliver many more pounds of benefits back.

If this is true, then why do we need state investment in the arts at all?  If they are such a good, sound investment, why are private companies not queuing up outside the Globe Theatre or the Royal Opera House to sponsor the arts?