I think curse words bother us because we are told they should.
That’s certainly part of it. Non-native speakers are often more comfortable using English swear words than swears in their own language, because they haven’t developed that sensitivity towards them. When I was first exposed to fuck at the late age of 10, I didn’t realize it was offensive, and I remember that I only gradually began to find it offensive.
The existence of swear words and the fact that so many people find them offensive is fascinating to me. There’s no apparent logical reason for it, except in cases where the word actually has an offensive concept associated with it.
An explanation I’ve seen, however, is that words associated with taboos can become offensive. Fuck, for instance, became offensive during a very prudish time. Shit and other words associated with using the loo are offensive because it is often considered poor taste and vulgar to talk about what one does on the toilet. Religious swears are considered offensive for fairly obvious reasons, at least for religious people.