Here's my top reasons:
1) I don't have the patience
2) I'd rather have the top cards in a larger variety of sets across eras
3) I'd rather focus the time and money I put into the hobby on key cards rather than commons
4) I enjoy displaying my cards and being able to pick them up and look at them, so storing complete sets in cardboard boxes has always been unappealing to me

So, in summary, different strokes I suppose...there's no right or wrong way to collect