Because it's gambling, and while you may win your Lay bet more often, you only win small amounts, while you risk losing £100's of pounds depending on your liability (maybe more if a big stake).
Bet at the bookie - bet's win less often, win more when you do
Lay bet at the Exchange - bets win more frequently but for smaller amounts, lose a lot more when the bet loses.
There was some story going around last year about someone who Laid (I'm plucking numbers here because I can't remember exact amount, but it was HIGH) 10k on the Favourite in a football match within the last couple of mins of the match at something low like 1.02 for a 'guaranteed' £200 profit. At which point the other team scored 2 goals or something and it ended in a draw. £10k lost to gain £200...yeah.
Personally, risking say £100 in order to only gain £20 isn't something I'd do.