Not sure if you are serious, but it's because the nut is only retaining it, keeping it from vibrating loose. If the threads were strong enough to pull the wedge tight, they would be about the same diameter as the cotter, which would leave no room for the tapered face. The use of a press/hammer to tighten the wedge is actually a rather elegant solution.

Just like a square taper crank, the nut/bolt only serves to keep the wedge in place--the friction of the wedge itself provides the connection.

There are numerous examples of tapered fasteners/joins elsewhere (old nails, for one, drill/lathe chucks, etc) that operate in a similar manner, if not an exact copy.