To say that a state is necessary, first you have to say what result you want that it's necessary for. But whatever goal you choose for a state to achieve, people could argue that there might be some better way to achieve that goal. Unless what you want is a state.
Historically there's almost always been a government of some sort. There are a few examples that seemed to have none, like the Inuit. And a few examples where government seemed quite minimal, like old Iceland. Presumably government goes back to neolithic times. When you live in a village, that village belongs to somebody and whoever it belongs to can demand things from you for the privilege of living in his village. The farmland around it is his too. You can fight him supposing that the rest of the village doesn't interfere, or you can go do your farming somewhere else, either under some other village leader or by yourself, or you can knuckle under. It didn't have to be that way but pretty often it was.
There was some of that among the Inuit too. One man, or a few men, a good hunter and presumably a good killer, might run a village. People did what he said or they left. It was fairly easy to leave but uncertain whether anybody else would take you in. The places where anybody could live were not the places where people ate best. A good hunter could feed others when their own hunting didn't go well, and of course "Whips make dogs, gifts make slaves".
To my way of thinking, the best argument in favor of coercive government is that your current government protects you from the possibility of a worse government. If you can't keep governments out, decide whether what you have is better than average. Try to replace it if it's too bad, and hope you get something better next time. This assumes you can't keep them from taking over. If you can, then you have a choice whether you want to.
I think it would be a good thing to get multiple AnCap societies. Then you can look at them and decide whether you'd rather move to any of them over what you have. Given a choice between an AnCap society of fundamentalist christians versus an AnCap society of fundamentalist muslims, I'd hesitate to choose either one but it would depend on the details.
About starting one -- if it takes a lot of violence to get rid of the government, and you can't be sure what you'll get afterward, then I'd support it if the government is a lot worse than the usual. But unless a solid majority of the citizens are ready for AnCap that probably isn't what you'll get, instead you'll take pot luck for a new government. And if a solid majority is ready for AnCap you might get it without a violent revolution.
RA Heinlein mentioned something he called "rational anarchism". If you don't recognize the authority of the state, you can live as an anarchist even though there's a state extorting money from you and threatening you with police etc. You oppose them when it seems worth it. You let them impose on you -- without conceding their right to do so, only their power -- when it isn't worth the fight.