This is common for mainly two reasons:
- Most musicians are clueless about gain structures, electronics, and acoustics.
- It is easier to turn one knob up than every other knob down.
Wear ear plugs, use in ears, or just live with it. Chances are you can't change these people. If you feel you can then try to reason when them.
The situation is very difficult though, specially if people share monitors.
About the best you can do is get in ears or at least individual wedges, each with individual mixing controls(See personal monitor mixes).
Personal monitor mixers are the way to go because it allows each person to adjust their own mix.
Most musicians do not have a good enough knowledge to know that X, Y, and Z are too loud and they should play quieter.
Most of the time the bass player wants more bass, the guitarist more guitar, and the vocalists want more of their own vocals. The drummer is just beating the shit out of the drums as hard as he can, regardless.
What makes a great band is when everyone plays together as one. If they can't hear you, then it means they must all play quieter assuming you actually have a decent level of volume...
It only takes one person to screw up everything. If he is playing too loud, each other person will not be able to hear themselves and play harder or turn up resulting in a cycle until it's just noise.
If your drummer is playing acoustic drums then it is near impossible to practice or even do small gigs if he doesn't realize how much he is hurting the music by playing to hard. Not only does it cause the problem you are having but also you lose dynamics.
If you can't talk to these guys about it and reason with them then best I can say is find a better band... cause it won't get any better and you'll probably just end up deaf(which only makes contributes to the problem).
If you like playing at a low volume and they don't then you are not compatible with them, find a group of guys that you are compatible with and you'll have more fun. Not only will you be able to enjoy the music better you'll also progress better (you'll hear more of the music and less of the noise (distortion, room reflections, etc...). Since this happens exponentially, everyone will improve. (i.e., not only will you hear better everyone else will too)
Note that having less volume does lose some energy as obviously there is more energy in loud music. This is were having a proper setup comes into play. You can have some of the energy without the noise and deafening levels. (EQ is a big part of this. e.g., EQ the kick and snare so they don't contribute useless noise to the spectrum which will muddy it up making it harder to hear other instruments.