There are many verses in the Bible that say clearly that G-d (through His emissary, the messiah) will be the one Who redeems the Jewish people from exile and gathers them in. Therefore for us to do it ourselves without a command from G-d is usurping the role of the messiah and going contrary to G-d's plan which calls for us to be in exile until a certain time. See Deuteronomy 30:3, Isaiah 11:12, 27:12, 40:9, 41:14, 43:5-6, 52:12, 54:7, 56:8, Jeremiah 16:15, 23:3, 30:10, 31:9, 33:7, Ezekiel 11:17, 20:34, 28:25, 34:13, 37:21, 36:24. Hosea 1:7, Micah 2:12, Zachariah 4:6, 8:7, Psalms 53:7, 106:47.

Deut. 4:27 states that G-d will scatter the Jews among all the nations. Since this scattering was an act of G-d, Who knows what's best for us, we are not to come back to the land until He tells us to do so. Deut. 28:64 also speaks of this scattering, as well as Leviticus 26:33. In Lev. 26:34 and 43 the Torah says that the land must rest during exile, so clearly we may not end exile early without a command from G-d. In Lev. 26:44 it says that when we are in the land of our enemies G-d protects us from destruction, implying that if we are in the Holy Land during exile we have no such promise.

If Jews were to found an independent state not in the Holy Land but elsewhere in the world, it would also contradict the concept of exile, which calls for us to "serve our enemies" (Deut. 28:48) and be "in the land of our enemies" (Lev. 26:44).

Interestingly enough, in 1825 when Mordecai Noah proposed to found an all-Jewish state or colony on Grand Island near Buffalo, and sent letters to the rabbis of Europe asking them to be leaders in the new state, here is the answer he got from the chief rabbis of Paris and London:

"To speak seriously, it is right at once to inform Mr. Noah, that the venerable Messrs. Herschell and Mendola, Chief Rabbis at London, and myself, thank him, but positively refuse the appointments he has been pleased to confer upon us. We declare that according to our dogmas, God alone knows the epoch of the Israelitish restoration, that he alone will make it known to the whole universe by signs entirely unequivocal, and that every attempt on our part to reassemble with any politico-national design is forbidden, as an act of high treason against the Divine Majesty. Mr. Noah has doubtless forgotten that the Israelites, faithful to the principles of their belief, are too much attached to the countries where they dwell, and devoted to the Governments under which they enjoy liberty and protection, not to treat as a mere jest the chimerical consulate of a pseudo-restorer." (from MAJOR NOAH: AMERICAN-JEWISH PIONEER)