Here are a few reasons that apply to at least some people on why they don't really go all in on the proxying thing:
1. It's more work to make a decent proxy than to buy a card.
2. Some proxying is illegal (for instance making a proxy that utilizes any art that does not belong to you) and most people don't fully understand the nuances of copyright
law and would rather avoid the issue.
3. It's genuinely fun to build from your own card collection and limit yourself to what you personally own.
4. Proxying is generally frowned upon by society.
5. Using a deck full of proxies at an LGS may be considered disrespectful to those trying to run the store and sell cards.
6. Some players are not okay with playing against those using proxies, and no one wants to miss an
opportunity to play just over that.
7. People tend to get more salty over loosing to an OP card that was proxied than to one that was legitimate.
8. Proxies aren't eligible in many formal and official events.
9. There is enough controversy over proxies that some people would rather just stay out of the issue.
10. Proxying can be seen as morally wrong.
11. The official cards look nicer to some.
12. Using some proxies that have a difference in thickness, card size, weight, gloss, etc. could be construed as cheating.
13. People have a fear that proxies will undermine the financial success of the game and cause their local card store to close, WotC to cut back on product, or MTG to end altogether.
14. People fear that encouraging proxies will undermine the investment value they've already put into their collection.
15. People like having an official copy of the cards they like to play with.
16. People don't want to have to update and adjust their decks every 5 minutes, so they only use cards that they already have, rather than feeling pressure to adjust every time a new card exists.
17. Avoiding proxies creates greater diversity in experiences.
18. Proxying particularly expensive/powerful cards can feel unfair when playing against someone that isn't really into proxying.
19. Proxying can require artistic skill to make it even functional.
20. A lot of official cards are much cheaper than it would cost to proxy them.