Same reason he doesn’t walk all over London to buy every item in a shopping basket from a different shop?
That would make no sense, because of the time and effort involved in travelling between different shops to buy one item at each.
In contrast, you can book five tickets on five different airlines pretty much as easily as you can book five tickets on the same airline. You can do it from the same seat, through the same computer.
So if someone moans about "having" to travel only on one airline, it's almost certain that the choice isn't being made on the grounds that it's too much hassle to buy different tickets from different airlines.