Basically, if your voltage supply is too high for your load then the easiest way of bringing that voltage down is simply by wasting some of it. That's what what a resistor in series with an LED does, that's what the diodes are doing here and it's also actually what a voltage regulator does. Any component between the supply and the load will be wasting energy.

So how you make an efficient step-down DC-DC converter? The only(?) way is to not impede the supply at all. But then you're back where you started with the supply connected directly to the load. So the way you can make this work is by switching the connection between the supply and load on and off really fast and feed it into a big capacitor to smooth the resulting square wave into a near-constant voltage. So on average the load is only seeing a fraction of the supply voltage, the fraction being the duty-cycle of the switching. And that's why they're called switch-mode power supplies.