Because the Saturn wasn't a bad console. Sega made certain mistakes. But the 32x, Sega CD, Nomad, Game Gear had bigger parts on Sega's downfall than the Saturn. One could say the Saturn was a victim of Sega's circumstances. Sega had a disastrous launch...but the aforementioned add ons and systems had ruined the people's trust in Sega before the Saturn arrived.
The Saturn, honestly, was kind of a bad console. It was a technological clusterfuck that required all kinds of workarounds to even try to keep it up to par with the N64 and PS1 as far as games people actually wanted at the time. 2-D Capcom fighters weren't what most people wanted. On top of that, it was expensive to manufacture because it was such a mess, which meant Sega couldn't price-match with the PS1 or N64 without deepening the losses it was already seeing. It did have a few good games, but it wasn't a well-designed piece of hardware. They should have listened to Tom Kalinske about using the less needlessly convoluted architecture that he proposed, but Sega of Japan wasn't about to take any advice from an American subsidiary.