Several of the reasons are shown elsewhere in this thread, but here's one I haven't seen here yet:

Because I like my head not freezing when it's ten degrees below freezing? When I bring this up, sometimes people tell me about thin membrane caps that fit under the hat, but they don't work when it's actually really cold out. Helmets absolutely do not fit over warm-weather hats (or any hats, really). (Other people have said "why would you be biking if it's below freezing", which shows that they don't understand the entire conversation.)