Mostly due to the security risk. Especially on Windows. Even being a software developer (read: not your average computer user) and taking extra precautions (like click-to-run for java use in browsers) I've still gotten hit by malware that takes advantage of security holes in the Java runtime.
I think the issue will be compiling it for the CLR and then distributing it. The current script gets and runs a JAR, but I 'd imagine it would be relatively trivial to modify the script to run the CLR instead - but you'd have to build from the source included in the JAR (if it's all there...)
Haven't had much experience with it myself, it has been a while since I've played with Clojure.