The best way to keep an animal in captivity is to make it think it's not in captivity. If an animal is happy where it is, it needs minimal restraints, cooperates better with its handlers, and even lives a healthier life. This concept applies to a range of animals, from zoo exhibits to beloved family pets to free range chickens that are ultimately destined to become just one more KFC boneless banquet.
This concept extends beyond animals. Humans can, unfortunately, be held captive through manipulation. This is most easily displayed in addicts. Refusal to acknowledge that their addiction is controlling them, rather than the other way around, is both a common and well known phenomenon. However, addiction is not the only behavior that can dominate a human.
According to Jesus, all sin is just as captivating as addiction. He goes as far as to say that whoever commits sin is a slave of sin. That's a rather strong statement. Yet, human beings have developed the worst case of Stockholm Syndrome when it comes to sin. We deny that sin has any power over us. We tell ourselves that our misdeeds aren't that bad, or that we can stop whenever we feel like it, or even that when God's word calls a specific thing a sin, it doesn't mean that, it refers to something else. In the worst case, we'll even accuse God of withholding something good from us. But just as a chicken destined to reach someone's dinner plate doesn't see any danger from the farmers who feed them, so also does a sinner bound for judgment not see the need for the salvation that Jesus offers.
As Christians, we have been set free indeed. We're not perfect, and never will be on this earth, but we have the power to do God's will in ways an unbeliever never could. But just yet, we haven't been removed from the coop, so to speak. We're surrounded by other "chickens" who have no idea what's going on. It's our job to at least attempt to convince the unsaved to come to Jesus so that they, too, can be released from their bondage.