Because it's a waste of money. Unless you've lived in New England, (especially Massachusetts) you can't possibly understand the total hatred for anything or anyone labeled "Republican."
Well, I don’t know about total hatred. Bill Weld (Republican) was Governor. Mitt Romney (Republican) was Governor. Both in the last 20 years. Yes, MA is a Democrat state. But it voted for Reagan in 1984.
1) Low turnout because it’s a special election.
2) People not liking Obama hurts Coakley.
Brown has a much better shot than a R would typically have in MA.