IMO, Because the beach IS Reveillon in Rio. Being in the midst of the local family culture, celebrating together with them, seeing the religious tradition of jumping waves and other unique rituals of Brazil and Rio are what make Reveillon Brazilian.
You can watch fireworks with "westernized" rich people at a party anywhere in the world.

Yes, you have to take reasonable care with anything you bring to the beach, but that is a fact of life/travel anywhere in Brazil at any time, and of course, you wouldn't bring much with you anyway.

A compromise might be booking a party and leaving briefly to make a sortie onto the beach, maybe just before the fireworks, which you will see many folks do.