Of your franchise players, your stars, your team leaders, etc, you need as many to be drafted as possible. There are secondary reasons for this such as having guys who are hungry to prove themselves and get that big second contract (ie don't have a team full of Albert Haynesworths and Clinton Portis's). Also it builds a team identity and team, fan and player loyalty (how much more popular are drafted players? how much more likely are they truly love the area/team they were drafted by? A lot, usually).
But the primary reason is simple value. Every team has the same cap to work under, so you have to create value wherever you can. This means getting as much talent as possible for as cheaply as possible. Free agents do not achieve this. Free agents are almost always over-valued, and there are rarely true bargains to be found.
Where this is most true might actually be in terms of depth rather than finding your star players. Injuries are inevitable, and as our offensive line showed last year, it is very hard to build decent depth from the free agent scrap heap.
A far better scenario for being able to deal with inevitable injuries is having young drafted players ready to step in. Sometimes they work out, sometimes they don't, sometimes you end up finding a future starter or a player who's actually better than the guy he replaced, but no matter what, you're using a player who doesn't cost much.
Free agency, on the other hand, is inherently flawed because the absolute best case scenario is that a free agent is merely worth the money you give him. It is almost impossible for a free agent, especially one with a decent contract, to out-play his contract. Randy Moss and Drew Brees are about the only major cases of this I can think of. Otherwise more often than not, free agents make more money than they're worth.
Important note: nothing I'm saying is an absolute. Sometimes free agents can provide good depth. Sometimes it's worth trading a pick for a veteran player. Sometimes a veteran is an important piece of your puzzle. Rather, what I'm describing here is the over-arching philosophy.
Dan Snyder's Redskins have spent the past decade putting most assets into free agents and trading picks for veterans with high paid contracts [which in turn causes the team to have to over pay when there's a player they want to draft (Campbell cost two draft picks, Rocky Mac cost two draft picks, Cooley cost two draft picks)].
As Winston Churchill might say, drafting is a hard way to put a team together, full of players who don't work out, but it's still better than any other way to build a team. The perennial winners do it, and we should too.