Actually the issue is that the companies paying you to run the ads don't want you to host it yourself.
* They're paying for impressions, and they don't trust you to report those honestly.
* Real time bidding means the ad to be displayed often hasn't been determined until a few milliseconds before the page loads in your browser.
* They can't (as easily and reliably) collect demographic and behavioral data (ie spy on you) if you don't contact their servers directly.