My step-mum ran a small toyshop a few years ago. She could only order limited numbers of plain lego bricks and the amount was dictated by the number of expensive fancy sets she bought.
It's not strange. Sets have high margins and their logistics can be optimized to hell and back. Loose pieces are low-margin and awkward to deal with. It's the same reason you cannot buy Coca-Cola, or milk, on tap from a supermarket.
Capitalism gonna capital.
Given that the Lego patent has expired and there's plenty of "off-brand" sets out there now, the market is free to fill this gap; it just needs a quality producer, because most of the knockoff stuff is just crap in comparison. A big one could be Minecraft, if they were to produce bricks and brick sets. They'd have to stop charging the merchandise premium though.
It seems that 'free bricks' in general horrifies them. I went to visit one of the biggest sellers of Lego in Norway and they had been told that Lego no longer wants stores to sell plain lego bricks, but only Lego sets. Which for me seems rather strange.