We have an intrinsic sense of morality by means of what Islam calls "Fitrah" - the natural disposition which God instilled in us. This is why people are naturally inclined to believe in The Creator. This does not mean that the Fitrah cannot be concealed and/or corrupted. A lot of society today still has remnants and fragments of Truths from the previous Messages. In the West, this manifests through the remnants of Truth from Judaism and Christianity, even though they have been corrupted, generally speaking.
Once we establish, through proof and evidence, the True message from God, then it is only rational to obey and submit (e.g. see https://www.provingislam.com/). What is wrong, or why something is wrong may not be immediately apparent to us. As long as God ordained it, we would be irrational not to obey.
