So they do. Here's a very elegant example of that from the classiest player in chess history.

It's also a fine example of:

• Development is important
• When you're ahead in development, open up lines
• Two Bishops are very powerful in an open position

[Event "Logical Chess, Move by Move #24"]
[Site "Carlsbad CZE"]
[Date "1929.??.??"]
[Round "24"]
[White "Capablanca"]
[Black "Mattison"]
[Result "1-0"]
[ECO "E38"]
[PlyCount "39"]

1. d4 Nf6 2. c4 e6 3. Nc3 Bb4 {The Nimzo-Indian Defence.  Black wants to
prevent e4 with piece pressure and has a mind to make a mess of White's pawns
on c3.} (3... d5 4. Nf3 Be7 5. Bf4 {Blackburne variation} O-O 6. e3 c5 7. dxc5
Bxc5 8. Qc2) 4. Qc2 {Deals with both problems, but weakens d4, so Black
attacks it.} c5 5. dxc5 Nc6 6. Nf3 Bxc5 7. Bf4 d5 8. e3 {I picked out this
game in part because it has a structure like a Blackburne Queen's Gambit. 
Black now plays a move we often see in that system.} Qa5 9. Be2 Bb4 {Black
moves the Bishop for a third time(!) to try and make trouble on the Queen's-side.} 10. O-O
Bxc3 11. bxc3 O-O {White just needs to find squares for the Rooks.} 12. Rab1 {
We might be able to feel Black's position getting uncomfortable.  There are
weaknesses on dark squares, and the Bc8 cannot move easily.  Capablanca was a
master of creating problems for opponents with simple, natural moves.} Qa3 (
12... b6 $2 13. Bd6 $1 Rd8 14. Rb5 $1 Qa6 15. cxd5 $1 {setting up a huge
discovered attack on the Queen}) 13. Rfd1 b6 {White has developed all their
pieces and now opens up lines for them to use.} (13... dxc4 $4 14. Bd6 $1) 14.
cxd5 Nxd5 (14... exd5 15. c4 $1 Be6 (15... dxc4 16. Bd6 {of course}) 16. cxd5 (
16. Ng5 $1 {is also good}) 16... Bxd5 17. Ne5 $1 $16 (17. Rxd5 Nxd5 18. Qxc6 {
with two pieces for a Rook (Chernev), but it's about equal})) 15. Ng5 {This
might be the sort of move I complain about: it takes one move to attack, but
it can be defended in one move too, so who does it really help?  Here the
answer is definitely White!} f5 (15... Nf6 $2 16. Bd6 $1) (15... g6 16. Ne4 $1)
16. Bf3 $1 {Improving the Bishop} Qc5 (16... -- {the threat is} 17. Rxd5 exd5
18. Bxd5+ Kh8 19. Bxc6 {winning.  Again we see a terrible tactic appear with a
simple move by White.  What defence does Black have?}) (16... Nde7 $2 17. Bd6
$1 {Pinned pieces are pretending!}) (16... Nce7 17. c4 $1 Nb4 $2 18. Rxb4 Qxb4
19. Bxa8 $18) (16... Qxc3 17. Qxc3 Nxc3 18. Bxc6 Nxd1 19. Rxd1 $1 {and White
still picks up the Rook} Ba6 20. Bxa8 $18) 17. c4 {The Bishops are really
breathing fire.} Ndb4 (17... Nf6 $2 18. Bd6 $1) (17... Nxf4 18. Rb5 $1 {chases
the Queen away from defending c6} (18. exf4 Rb8) 18... Qe7 19. Bxc6 Ng6 20.
Bxa8 Qxg5 21. Bc6 {A fine tactic based on an "in-between move".  English is
rubbish for describing this idea: Italians say intermezzo, and the Germans use
Zwischenzug.  The latter is such a nice word to say that English-speaking
players often use it!}) 18. Qb3 $1 {The Queen is giving an Evil Look to the
King.  The threat is seen in the game:} (18. Rxb4 Nxb4 19. Qb3 {was my first
thought, and it's still pretty good, but Capa has seen further.} Ba6 20. Bxa8
Bxc4 21. Qb2 Rxa8 22. Rd7 Qf8 23. Rf7) 18... e5 {This loses, but so does
everything else, so it's not really a mistake.} (18... Qe7 19. a3 {wins a piece
}) 19. a3 Na6 (19... exf4 20. axb4 Qe7 {hitting the Knight, but} 21. Bxc6 Rb8 (
21... Qxg5 22. Bxa8) 22. exf4) 20. Bxc6 $1 {Black resigned.} (20. Bxc6 Qxc6 21.
c5+ $1 {This was what Capa saw that I didn't!} Kh8 22. Nf7+ Kg8 (22... Rxf7 23.
Rd8+) 23. Nh6+ Kh8 24. Qg8+ Rxg8 25. Nf7#) 1-0