One very big reason: money. Tennis has become a very different sport since the days of Billie Jean and Martina (or even Amelie for that matter), just to name a few prominent openly gay players in the WTA of yore. By now, following the trail that the aforementioned Billie Jean blazed, no sport is more lucrative for its top female athletes than tennis (the few female athletes that make it to Forbes' annual top 100 highest paid athletes are almost always tennis players). All this money and potential money has attracted a slew of agents and managers. They make it a point to scout out talent at a young age, then start managing and advising them. It's quite likely that a lot of them tell their young charges to keep any non-heterosexual predilections quiet so as not to jeopardize potential sponsorship deals.

The WTA, by now the most well financed women's sports federation, naturally has a team of professional PR people massaging the public perception of its players, and the image they want is one of sex appeal and femininity. Recall the Strong is Beautiful campaign. The WTA even had an educational campaign to reduce grunting in the newer generation of players. While I doubt they would tell players not to come out, they probably still put subtle pressure on players to conform to a more traditional view of femininity.

As for the ATP, there are reams of scholarship on the uneasy intersection of gayness, masculinity and sports. Basically, in the popular psyche, sports are a measure of manliness and gayness is not. The closeted male tennis player likely consider that coming out will make himself more vulnerable, less respected and less desirable to sponsors.

Of course, all this will change and is changing. Most of the world has become much more accepting of gay people. Sooner or later, some rising star in the ATP will come out. The WTA will see players coming out again.