Not Ashamed of the Gospel, as long as it is in the church

What's wrong with bringing the gospel out to the lost instead of bringing the lost to hear the gospel, if we are not ashamed of the gospel?
I titled this because as someone who goes out on the street to preach I know of some comments that get made about street preaching. Christian people come out and ask why are you doing that?
Someone said, I get enough preaching on Sundays. That was a comment to a friend of mine who was preaching on the street one time. Some have said that doesn't work. Wow so if the word being proclaimed on the street doesn't work then what does?
I really feel we have come along way from what Jesus, John, Paul, Peter and the others in the New Testament did. They preached on the streets. So if we are so bold to say we are not ashamed of the gospel while in a building why then are we not out proclaiming the gospel on the roof tops?