Because it's slow. I have a 2G iPhone, and whenever I get a push notification that someone sent me a message, I first have to open the app (takes a few seconds), sign in (takes about 30 seconds), let the contact list load, and then finally I can read the message and reply. It almost takes a minute! Now this probably won't be as bad on 3G with the 3GS, but it's still a lot slower than actual multitasking. For instance, on my Android phone the IM app opens instantly. I can reply within seconds after receiving a message.
Can't do that on the iPhone. Push notifications make it work, but it's not a pleasant experience at all. And it won't get better with OS 4.0.