Originally Posted by FBinNY

Actually the reason is simpler and more technical. Hex keys have a closer fit tolerance than open end and box wrenches, because the ratio of driving torque to thread size is very unfavorable compared to that with hex head bolts. The close tolerance limits the ability to etch then add metal via plating. Some companies do a very thin, zinc or cadmium, but it doesn't offer the rust protection that a decent plating job will.

In any case most of the best makers of hex keys prefer to maintain tolerance with a Black-Ox finish that doesn't change dimensions.