Because server side tracking isn't sufficient? I've heard from numerous people that it definitely is. Tracking cookies are a massive privacy invasion for what is minimal, if any, benefit
Even if your site is set up well to support it there is objectively less data you get back. Like it's hard to figure out where are the trigger points that increase or decrease conversion all that stuff. Or if people leave and come back. And it's a lot harder to run your own analytics (coming from somebody who does) even if you are just hosting somebody else's solution.