Quite simply, because the standards for mobile networks require that the IMEI is unique. To allow users to change it would violate the standards.
The International Mobile Equipment Identity number (IMEI) uniquely
identifies an individual mobile station. The IMEI is unique to every
ME and thereby provides a means for controlling access to GSM networks
based on ME Types or individual units.
The assigning of the IMEI is strictly controlled:
The term Reporting Body shall refer to a Body that is recognised by
the GSM Association as having authority or competence to allocate
IMEIs to ME Types. These Bodies may have also been given authority by
their national governments or industry bodies to perform a regulatory
conformity assessment procedure or otherwise permit the use of mobiles
on networks. There may be more than one Reporting Body in a country.
In addition, some jurisdictions require that the IMEI be used to block access to mobile networks, and make the changing of the IMEI illegal:
Re-programming mobile telephone etc.
(1)A person commits an offence if—
(a)he changes a unique device identifier, F1...
with the operation of a unique device identifier.
[F2(c)he offers or
agrees to change, or interfere with the operation of, a unique device
[F2(d)he offers or agrees to arrange for another
person to change, or interfere with the operation of, a unique device