If we are saved by grace, from all of our sins, why do we confess?

The simplest answer, is because we are commanded to (1 Jn 1:9; James 5:15. These passages are clearly directed at believers). I don't think, however, that this should be taken as evidence that our relationship with God is tenuous. Rather, I think a growing awareness of sin, and a growing rejection of it through confession, is a sign of our being conformed into the image of God. Likewise a lack of confession, and a lack of sensitivity is a sign of a seared conscience and a hardened heart.