The idea behind a Jewish state was to get away from the control that Torah had over the Jewish community (as they sing: to be a free people, free from the yoke of Torah).
Most rabbanim at the time thought this was a bad idea. One underlying reason is the values necessary to maintain a state would inevitably clash with Torah values (e.g. learning how to fight wars instead of learning how to do mitsvos). Also it was obvious that the goyim would object and when goyim object to something they tend to express themselves violently).