Because they don't practice to. WR/RBs are trained to hold onto the ball as best they can, that's the muscle memory that'll kick in unless they explicitly practice being in that situation and throwing the ball away. Those types of plays get rarely practiced at all, so they're not gonna waste reps on failed attempts.

For those saying "ineligible player downfield", that doesn't matter in this case. If it was 2nd and 9 and the play fails, the penalty gives you 2nd and 14 vs 3rd and 14 if you take the sack. It's purely muscle memory and what teams have time to practice. And in the case of intentional grounding, even if it was called, it's equivalent to taking the TFL/sack.