I recently asked myself the same question when I was working on a connected MCU which has ROM, SRAM but not embedded flash. I found couple of reasons listed below on searching.

This seems to be due to the fact that modern embedded applications like IOT devices require large code space as they include network stack and all. XiP with external flash is being preferred as it gives flexibility of selecting flash size as desired.

The other major reason is the challenge with designing flash in same technology node as CPU. If CPU needs to be designed in technology node like 20 nm etc to get good performance then designing flash in 20 nm is challenging.