Because they are a business, and not some insecure fanboy and they understand their audience better than their audience knows themselves.
Exclusives are good for three things and three things only:
1. Sell consoles.
2. Fill out gaming libraries.
3. Make money.
However they also have to compete with many non game activities which Microsoft does with the Xbox 360. Things like early Netflix support which caused a large spike in console ownership in 2008 in America, Xbox Live which they garner a subsription on and relatively high (30%) margins on software sales from third parties and product research and development which seems to yield a much higher return than several studios if you consider product research. These have significant ROI in comparison to many game development. So general software development may trump specialised game development studios.
Now people assume that most exclusives:
1. Sell consoles.
2. Make appreciable differences in game libraries.
3. Make money.
Now a good exclusive either does all 3, or at least 2 of the 3 depending on the case. The only exclusives worth a damn are the ones which make appreciable differences in the game library which sell a lot of copies with a high attach rate with making money the ideal sweetener but not 100% needed if they can fulfill the first two criteria.
The reality is that most exclusives:
1. Don't sell consoles to any decent degree.
2. Don't make any appreciable differences in game libraries.
3. Don't make money.
So when do exclusives actually make sense? Right at the start of the generation and towards the end of the generation if a console maker can establish a sizeable userbase. So right now Microsoft has a lot of exclusives coming out because they actually fulfill the criteria of being good exclusives due to Kinect coming out with a small library and Microsoft had a lot of exclusives in 2005-2007 because the library of content was small and the impact of a singular release was much larger. You could say that it is better to have one Gears of War in 2006 than it is to have 5 Uncharted 2's in 2011.
This is the reason why Microsoft started with a flurry of exclusives in this generation then petered out in the middle and sold/closed down studios and now is bringing back the paid for exclusives and developing additional studio capacity as the userbase expands for the Kinect launch as well as in preparation for the start of the next generation. They don't need to please people with exclusives who already own their console or try to please people who have already made their bed with a competing console. Furthermore the added addition of exclusives has to factor in the fact there are already many competiting 3rd party publishers releasing content which satisfies the core audiences and the days of the first party publishers completely dominanting their console libraries have ended for the PS3 and Xbox 360 at least. So any extra titles will always be at the severe end of the diminishing returns spectrum at this point in the generation for overall library completeness.
In the end the fact that a game is exclusive means very little to most people. Games are bought on their merits, not because they cannot be bought on any other gaming device or console. People who feel insecure may want to place justifications on exclusives or to compare overall libraries however they make up a very small proportion of the overall userbase and a disproportionate number online. If two consoles have 9 major multiplatforms and console A has 1 major exclusive and console B has 4 then the overall numbers look like a 10:14 ratio with console B having 40% more major releases not 300%. At the start of the generation when major releases were few, exclusives actually made sense if there were only 3 major multiplatform releases and 4 exclusives on console A whilst console B may have only had one major exclusive, the ratio then would look like 7:4 which would give console A a more substantial benefit.
Tease.
