Because I have better things to do with my time than click to close the message on every single website I visit.
If you actually read them then good luck to you. I think most people either a) don't care or b) install a global blocker to suit their particular privacy requirements.
Because the web becomes unusable with those "helpful" cookie notices when I actually do block cookies browser-side.
Those "TRUSTe" JavaScript solutions are the worst. They fade the whole page to black, then take whole seconds to load and make the browser sluggish.
Because as I am already using an AdBlocker that blocks the tracking cookies, this message is irrelevant.
"if these companies would just invent and build a new infrastructure to pay the bills, they wouldn't need to present a nag."
There are many business models which do not come with moral dilemmas and that do not fall under the incidence of this law. Data mining and tracking might be trendy, but it's not a free for all, there need to be rules and the privacy of users must be respected. If some companies are unable to do fulfill these basic and fair requirements, that is strictly their problem.
It is however inconvenient for the websites. They could always stop using privacy-invading ad networks and external services which track users and then they wouldn't have to show any message.