Cost and I think they can't be DOT certified do to a fire hazard. Magnesium burns incredibly hot and when water is used to put it out bad things happen.
They can be passed by DOT, but I’m not sure if any of the aftermarket manufacturers are willing to spend that.
The Porsche 918 with the Weissach Package is equipped with Magnesium wheels, so they must be passing DOT spec to be able to sell those vehicles for the street in the US. I know we’re talking about a $1MM+ Hyper car, but I figured it was worth noting.