Because no one wrote one. There were some attempts but nothing which would work now. Delivering small applications does not seem to be a focus of SBCL users.

https://www.snellman.net/blog/archive/2005-07-06.html

There is also the possibility to compress the image. See :compression option when saving an image:

http://www.sbcl.org/manual/#index-g_t_0040sbext_007bsave_002...

Commercial Lisp implementations like LispWorks and Allegro CL have a treeshaker for delivery, but that's not too surprising, since these products are for developers of applications and the users pay for such features.