Two reasons, for me. I would only want to be in a relationship with a woman with whom I share deep love, trust, affection and mutual respect. I don't see how you can introduce a third person into the midst of that and have that relationship survive--but if that works for some people, fine.

The other reason--and this, too, could undermine the relationship--is that nobody can be all things to someone, and that includes in the physical sense. If it's a threesome with myself, my gf and another guy, first of all, if she asked for it or if I think she wanted it, I immediately become insecure because I interpret that as her being dissatisfied with me sexually. If in addition, the other guy is just a more impressive physical specimen, or younger, or has a huge dick, that would make me lose my marbles.