Anarchy is bad because there will still be criminals (generalization).
There are criminals today; there is slavery and a sex trade even in "free" countries. When a free society (even a hypothetical one) is compared to a statist one, the comparison should be to what is (or, in the hypothetical, what is likely, which is arguable—and frequently argued). While we expect that a voluntaryist society will be better than a statist one in many ways, it does not fail merely because it falls short of someone's utopia. (DBR)
In my limited experience, a meta-fallacy of all critiques of anarchy (and indeed, any aspect of individualism or "alternative") is inconsistent bar setting—of attempting to hold the alternative up to a standard the incumbent cannot meet. (ME)
To expand on DBR's point, there are laws in statist societies against murder, but that does not prevent people from murdering. In fact, since the people in the government are above their own laws, they are often paid to murder (war, for example, death sentences, botched raids, etc). State actors also regularly rob and extort from productive citizens, yet there are laws against "normal" people doing these same things. So the state is not only not a guarantee against harm to innocents, but actually engages in the very behavior the statist is worried about. The absense of government will therefore be preferable (DV).
The difference is, in a free society, there is no organization like the state who regularly engages in slavery, theft, and murder, and not only gets away with it (because they are above their own law), but is also respected and expected to stop all of those actions in its subjects!
In other words, the state is no cure for those actions we find immoral.
A free society is not a panacea where all problems between people are magically solved. (DV)
Related: Nirvana fallacy on Wikipedia.