Why is Office 365 forcing me to change the NameServers for my domain?

I've been clicking everywhere and can't seem to find how to tell the 5 step wizard that I don't want to change my name servers.

I just want to point my MX records, not move my domain nameservers to Office 365.

There are a bunch of online articles talking about doing this, but I don't see any options available to me through the portal to select self-hosted DNS.