Because the world is a fine place, and worth fighting for. *Hemingwaygasm*
In Tamriel you can get anyone you want murdered by two legal assassin organization, organized crimes runs entire cities, there is constant war, violence, murder, corruption, bandits and other criminals run the countryside of most countries. There is pain, grief, suffering and death, all remember and expected in a linear pattern. There is the knowledge that you will die, and your body will decay.
Compare this to an immortal, spirit state of being, which, I admit, we don't know much about. Sounds a lot better than the world of Tamriel as it is.