The simple answer is that the evolution of large, slowly reproducing organisms is not preferred: it is simply not selected against.
The key mistake in your thinking is this statement:
One of the main goals of living organisms is to reproduce
Most living organisms have no such goal, they simply take actions that have, historically, led to the continuation of their lineage.
In a complex world, there are many different strategies that can lead to survival and propagation of an organism, and cooperation between cells is one of them. Even simple bacteria often form large multicellular aggregates, which can provide physical advantages for their members over dissociated individuals, such as resistance to physical damage and formation of protected microclimates. The inside of your body is another such protected microclimate. So multicellularity can be quite advantageous.
As for limiting reproduction: remember that the closest competitors every new organism has are its own relatives, who occupy the same space and compete for the same resources. Even bacteria will often limit their reproduction when resources are limited. Reproduction also takes significant resources. A faster reproduction then, is also not necessarily advantageous for long-term survival.
Bottom line: neither large nor small, fast nor slow is preferred. Instead, the study of evolution predicts that we will see what we do see: a multiplicity of forms and strategies adapted for different niches in the ecosystem formed by their interactions with other species and the external environment.