1) Good security is more expensive, and increases how long all work takes, and increases how difficult it is.

1a) Your competitors have less security than you... and thus lower costs and faster turnaround times. While you can wait for them to have a major security breach and go out of business, you might go out of business in the meantime, too.

2) Some industries already have such report requirements in many countries; these tend to define what kind of data loss has to occur to be reported, how fast the report has to be done, and come with fines for failure to do so.

3) Per 1a), a major security breach often drives companies out of business. Reporting it only increases the chance of going out of business, as at least some customers reasonably look elsewhere (and perhaps unreasonably think somewhere that hasn't reported a breach is more secure - the ostrich security technique is quite popular).