It's also inconvenient for the 99.999% of customers who aren't trying to cover their tracks, because without the info they wouldn't be able to check their order history.
And it's not simply a matter of telling the law enforcement agency "We don't store that information." You most likely have to jump through the hoops to prove that you don't store the information.
https://en.wikipedia.org/wiki/Telecommunications_data_retent... (concerns telcos, e-mail hosts, and web-hosts)
The USA doesn't have a law like that, but it doesn't have a right to privacy either (there is a law about the privacy of correspondence that the NSA and telcos have ignored), so this sort of data retention law is sidestepped by a few large actors “voluntarily” collecting and sharing information. National security letters, gag orders, and whatever power incited AT&T to first do large scale warrantless interception mean that there can be a lot of abuse with little consequences for the participants. This might also apply to smaller actors, although less publicised (I don't know if there's any bad publicity the US government would care about). If you collect it, you might end up sharing it.
Lying to the police/courts and obstructing criminal investigation blatently is, obviously, a crime. You shouldn't do it. Also if they get a warrent you are breaking the law by hiding that information.