I think some of it goes back to the art vs. design conversation and games, in so much as they are games, tend to fall on the design side (there tends to be a clarity regarding the rules, rules are designed to create good gameplay rather than an expression of artistic vision, etc.). A lot of the things that can be considered art can work just as well outside of the game (take a cutscene, for example, which has no gameplay and is basically a movie inserted into a game).

Of course, there are some games that tie the narrative and the gameplay together in such a way that it's hard to separate the two, such as The Colonel's Bequest (1989), The Last Express (1997), and a favorite of Roger Ebert's, Cosmology of Kyoto (1994). There are also "ungames" that eschewed gameplay in order to create more of an art experience, such as Puppet Motel (1995) and The Manhole (1988). But mainstream gaming has largely forgotten these games (as well as many others).