Because it's a lot of complicated work to do. This database is a whole lot more than our collections. It's our "friends". It's our personal information that we've chosen to enter, yet may not be sharing. It's the private messages we've sent to other members. It's our passwords. It's these board postings. It's our want lists and our trade lists. Etc etc etc.
Admin would need to go table by table in the database to identify what is downloadable and what is not.
And if you know anything about databases, you know that a straight download of data wouldn't even be useful as is. Many records might just be pointers, or encrypted, or normalized. To be useful, a mosaic of data from multiple tables would have to be put together and pulled.
Is a programming project over and above a simple data dump.
Time consuming. No justified gain for the effort. I wouldn't do it either if I was admin.
But I WOULD love that feature. ;)