Because that's a lot of capex to take on, not to mention accounting hassles, depreciation, and install/maintenance expenses. Your average bunch of startups does not want to tie up a giant chunk of money in hardware, and even most established companies don't want to either, hence the giant "move to the cloud" epidemic of the last years. On top of that, you need some serious expertise to properly wire up an AI training cluster so you can actually use the GPUs to their full potential, and such experts are rare.

The problem is that MBA beancounters don't have a way to put a number behind "what if the cloud provider suddenly decides to terminate us", "what if creds leak and someone mines shitcoins for a week or two", or (for everyone outside FVEY) "what if the NSA decides to compel the cloud provider to turn over our server data containing our trade secrets", and so this gets all ignored.