You have to put a lot more care into locking away keys. Locking away gold is easy. You just lock it away. Keys have to be properly generated with no other copies that could be compromised and printed on archival quality paper in a fireproof safe. And even then, a key only has to be compromised, not physically removed. Two of three multisig, while clever, means you now need three locations instead of one, and you might not even know that the first key was compromised. But this probably only boils down to the fact that we've got pretty good at storing gold by now. I don't think Bitcoin is any easier to store, though.

Because locking is just half of the problem.

A thief in a gold vault still has to carry the gold out, and that is difficult.

A thief in a vault with a bitcoin wallet just needs to write the private keys/seeds on a piece of paper (yes, I know about secret sharing schemes)

So bitcoin is much more vulnerable to a single person who fucks up or is malicious.

You can, and Coinbase and other competent exchanges do. You can also store the keys redundantly and apply cryptographic as well as physical protections.