Dirt would really be bad for your container plants. It will stay wet in the bottom 1/2 or 1/3 of the container, while the upper portion becomes overly dry. The lower roots will rot and the upper ones will dehydrate. Your plant will die.
If it bothers you that the soil is "wet" straight out of the bag, you can always open the bag an let it sit for a few days to allow some of the moisture to evaporate. Give the potting mix a bit of a stir now and the with a trowel, until it reaches the moisture level you prefer.
Most potting mixes contain peat moss, which can be very difficult to moisten once it gets really dry. I think that may be why the mixes are moistened before they're packaged.
"Isn't it enough to see that a garden is beautiful without having to believe that there are fairies at the bottom of it too?" - Douglas Adams