Existing genetic variation
Natural selection can only work on existing genetic variation. There is a gene pool, and out of it survivors are selected to reproduce for the next generation's gene pool, but no one who isn't already in the pool can be invited in.
In other words, on your birthday, your momma gave you some genes - dimples, a rear end the size of Milwaukee, maybe a mustache. Bummer- you really wanted rocket thrusters. But your momma could only give you genes that she already has, likewise your daddy couldn't pull rocket thrusters out of the air to give to you.
Some things, like rocket thrusters, would be totally sweet to have, but let's face it- you're not going to get them anytime soon. Fish might really wish that they had lungs in addition to gills, but they're not going to get them anytime soon. So it's foolish to ask "why don't fish have lungs?" or "why can't people fly?"
Adaptationism would cause us to answer these questions by looking for reasons why it wouldn't be advantageous to have rocket thrusters. But clearly, personal rocket-assisted flight would be advantageous. Going back to the insect antennae- we might expect that having foldable, elbowed antennae would be advantageous to any insect. But not everyone's got the genetic wherewithal to make elbowed antennae. The reason why a certain insect has a certain kind of antennae might not be related to what is most advantageous for that insect, but rather, what that insect's momma gave them.