Wanting less federal power does not necessarily require that one want less government power.
I would guess that pro-government states would rather that the feds do not get in their way. Federal power expansion, in some cases, might mean turning back the clock in these states. Imagine, for instance, if the federal government required shall-issue (but time-consuming or expensive to get) CCW--that would be an improvement in Illinois, but I'm sure the state-level gun control nuts would be very unhappy, and complain that the fed had overstepped.
After all, superficially well-intentioned but ultimately oppressive policies only failed because the states weren't in charge.