In Sandman (the comic) they give an excellent explanation for that.
At the end of the story, it is revealed that Lucifer rebellion was was part of God's plan (but they didn't know). He needed somebody to run Hell. The idea is sinners feel a need to be punished, and they need it so badly, that not being punished is even worse than being in Hell. So the best thing you can do for them is throwing them in Hell, and put some "fallen" angels to punish them.