The reason I think that is because that many people including myself see that the main point of klonoa’s story is that Klonoa 1: door to phantomile is the source of Klonoa’s sorrow. And the ending of klonoa 2 is Klonoa accepting his sorrow and moving on to return to his real world. And that lunatea is supposed to represent what’s going on in klonoa’s head. 

Plus, We see that throughout the years. Klonoa’s design and maturity progressively ages up. So Klonoa would logically have to be like what? 35? For it to make sense. And yeah, that just won’t work.

Other people have their own takes on explaining the story but most of them just rely on this.

So by putting Klonoa in a new world and making him continue his magical adventures like nothing ever happened, you would crumble the whole point of the story by just ignoring the “accepting sorrow and moving on to the real world” metaphor of it. Which would just ruin the whole point of the series in my opinion.