Try to make one. You'll figure out why soon enough. ;) Like making a good piece of software, there are hundreds of subtleties in great typeface design that a reader never thinks about.

Jesting aside, there are a handful of large foundries who are still behind the times somewhat. They're used to dealing with only a few clients (design agencies usually) and certainly not the web. A few have thankfully started coming around, especially thanks to work by TypeKit/Adobe. For example, HF&J now has a surprisingly good webfont service.

But unless you're going for something really specific (Proxima Nova, Whitney, etc.) you can very likely find a great similar font that is already open and even CDN'd by Google. (Though their browser is lousy.) https://www.google.com/fonts/