Because it takes a long time and may cost twice as much. The custom bike industry (think serotta) is just about dead. If you have very unusual body proportions where stock frames won't work, it might be worth considering.

That said, I buy frames only and build my bikes with every component that I prefer. Campagnolo drivetrains only. I've only paid full price for one of my frames - a special edition LOOK 585. I normally buy frames left over from the previous year or two, at far below MSRP.