Bethesda would lose some money if they did something like this, if you think about it. Some people will have multiple copies of Skyrim for different platforms. And I don't really like the idea that I can transfer a character from my PC to my imaginary Xbox 360. I'd rather have them spend time making the game Skyrim better.
How would they lost money? Spend what time, the save information already works, as someone else has pointed out. Either way I think this is more a Microsoft/Sony thing, just like mods that would have to allow pc info to be use on there consoles.