Why is it more sustainable to drive yourself to the store and back in a mostly empty car than it is to have the same goods delivered to you on a truck that also delivers to dozens or hundreds of others? The total per-item miles are probably less for the delivery scenario.
Think of it as car-pooling, but for stuff instead of people.
It's sort of like UPS truck pooling in my case. I live in a high rise that gets daily deliveries regardless of what I order, which is why I don't feel too bad about my incessant stream of Amazon orders.
Think of it as car-pooling, but for stuff instead of people.