The failure of the Sega Saturn scared away the big 3rd party developers like EA and Square, combined with the huge success of the PlayStation 2 forced the company to cut their loses and leave the market entirely.
The Dreamcast beat the PS2 to market by a full year, and the PS1 handily outsold the Dreamcast in the interim. It was bad news for Dreamcast from the start.
EA had their own reasons besides it being a simpler financial decision. Bernie Stolar said EA wanted to be the sole provider of sports games on the DC, SEGA didn't agree. It is also coming to light that EA had stock in 3Dfx and SEGA did not choose them to power the DC so EA was salty.
Square never developed for a SEGA console so that was no blow to SEGA Square not being a developer.