Because by doing so you:

Increase costs
Slow the system security management process
Add no new security functionality

If the firewall actually added security relevant functionality... then you'd have to weigh those gains against the added costs, reduced mobility and reduces assurance.

Compare two approaches to securing a Linux based web server:

1. Add every security tool under the sun
2. Strip the system down to do NOTHING but serve web pages

Which system is more secure?
Which system is higher assurance?
Which system offers greater mobility?
Which system is cheaper to maintain?

cheers,

catch

Internally it may or may not be politically acceptable to stop installation of software, there is also the possibility someone will bring in their own hardware and place it on your network or use a bootable CD.
A personal firewall solves none of these problems.