Cost is the big reason. And local availibilty. Some of what I shoot are uncommon calibers, at least around here. .38-55., .41 mag, 7.7-06, .38 Long Colt, .45 Colt, .45 acp, 8mm Gibbs, .30-30, .32 acp.
The only cenerfire calibers that I have ever bought factory loaded ammunition for are the .45 acp and .32 acp. The .32 acp is the only one I don't load for, but the only gun I have in this caliber is a two-shot derringer.