Lots of reasons. Here are a few in no particular order from someone who's shipped games on the web, on consoles, and on PC:
* Deploying large software (i.e. games with all their textures and sounds and models) to the browser is a pain in the ass. Your content will get dumped out of the cache, the user's connection may be spotty, and the browser tab might use up too much RAM and get killed. Console and PC game distribution has an install stage because you need one and that simply is not possible in the web model [1]
* Browsers provide bad latency and stability characteristics. They will drop frames frequently due to garbage collection or activity in other tabs. The amount of multiprocess communication, buffering, etc involved in running a webapp also adds input and rendering latency. This makes games just feel sluggish and janky. If your only option for releasing your game is the web, you'll pick the web, but if players could get a smoother experience on Steam or PlayStation instead, you'd be a fool not to release there. The worst scenario is mobile, where in some cases the input delay on touches is upwards of 100ms.
* Browsers have subpar support for user input, especially on phones. For native games users can pick up an input device of their choice and begin playing immediately (unless it's an ancient PC game that doesn't support hotplug - this is more common on Linux for reasons that aren't obvious to me). In the browser, gamepad input doesn't report until you press a button - moving the analog stick to move a menu cursor isn't good enough - which is a weird and jarring experience. Fullscreen is required for certain types of input as well, which means people who prefer to game in a window on their desktop are out of luck. Apple gets bonus points for just intentionally making all of this stuff worse on iOS to force you into the App Store for that sweet 30% cut.
* AAA game experiences are expensive and more importantly time-consuming to develop. There are studios that started building AAA web game experiences a long time ago, and over the course of years most or all of them flamed out. Game development is hard so these failures aren't exclusively the fault of the web platform, but the web platform certainly didn't help. See https://www.gamedeveloper.com/business/rts-studio-artillery-... for one example - they started out building an AAA web game, then pivoted to native because they couldn't get around all the problems with web games, and then eventually shut down.
* Browsers have limited access to resources. I gestured at this in the first bullet point, but if you run in a browser tab you have less address space, less compute throughput, less VRAM, and less bandwidth at your disposal than you would in a native game. For "AAA" experiences this is a big problem, but for simpler games this is not really an issue. For large scale titles this can be the difference between 30fps and 60fps, or "all the textures are blurry" and "it looks crisp".
[1]: There are some newer APIs that alleviate some of the issues I listed, but not all of them