Because you are reserving the right to obtain them with your citizenship? If you want to declare that you're not going to use them (abandoning your citizenship), you don't need to pay taxes.
"It shall be unlawful for any person to sell or otherwise dispose of any firearm or ammunition to any person knowing or having reasonable cause to believe that such person ... who, having been a citizen of the United States, has renounced his citizenship"
And yes, this is actively enforced as part of the federal background check system.
Ironically, legal non-citizen residents can lawfully purchase firearms, even on a student or a work visa (although there are more hoops to jump through).
Because it's in the constitution, and changing that is very hard. That's the answer.