Because it's not a browser permission. The browser could offer to send a "no" for you, but the site could just go on and track you anyway. It would be like having a permission dialog where clicking "no" just would ask the program kindly not to run with admin permissions.
Now, you might argue that the browser could start blocking cookies, but that would just break useful functionality (i.e. logins) without preventing the abundance of other methods of user tracking (local storage, tracking pixels, link parameters, fingerprints, ...). If you want to go down that route, the most reasonable response on clicking "no" would be to close the browser, really.
Not just "could", this was already tried: https://en.wikipedia.org/wiki/Do_Not_Track
It's still in Firefox at least, and Mixpanel does respect it (a tracking service akin to Google Analytics), but not a whole lot else.
Imagine, for example, if the dialog to allow push notifications for a website would be an UAC window. It would not make sense since a) the OS would ask for something which is clearly contained within the context of the browser and b) the OS has no reasonable [0] way to know whether a notification sent by the browser is on behalf of the denied/allowed website. Similarly, it makes sense to have the prompt for tracking data in the context of the website, since it is the only context in which it can reasonably [0] handle the response. It does change the difficulty or legality of circumvention, yes, but it is a bit less security theater.
At least that's the technical reason. If we're being honest, the discussion never came up, because a) laws are bad for setting technical standards in many ways and b) most site owners prefer to build their own dark patterns to get the user to click accept anyway.
[0] Excluding heuristics, of course, which would just start a game of cat and mouse yet again and would necessarily be flawed.
