The problem via Cantor's paradox has already been noted. It is also the case that the most common set theories prove the existence of "the set of all $x\in A$ such that $x\notin x$". If $A$ is the universe, then there is a set $R$ containing every set that is not a member of itself; but $R\in R \iff R\notin R$, which is a paradox (Russell's, specifically).
More trivially, common set theories accept the Axiom of Foundation, which implies that no set can be a member of itself. But a set containing every set must have itself as a member.
There are, as someone mentions in the post linked to in the comments, consistent set theories with universal sets, but these theories must reject each of Foundation, the existence of $\{x: x\in A \wedge x\notin x\}$ for all $A$, and Cantor's theorem that $A < \mathcal{P}(A)$. The consequences of axiom systems that disprove these in favor of the existence of a universe can be counterintuitive or cumbersome; Currying a binary function might not work in $\mathsf{NFU}$, or complementation might not work in $\mathsf{GPK}$.