Because we are generally trying to distribute a signal that has been decompressed. Your TV has the ability to receive and decompress over the air HD transmissions, but it can't currently decompress the output from your cable box, DVD player etc. Soon, we might be able to use cablecard or other technologies to take the cable signal straight to the set and the decompression and possibly decoding will be done there, but for the foreseeable future, a centralized DVD player or server will continue to require multiple cables.
In my opinion, doing video decompression at the display makes more sense than trying to distribute uncompressed signals, but I'm definitely in the minority with that view.
An avid DIY'r and a proponent of Firewire