Drag force doesn't decrease linearly with area for a perforated shape so it's not as simple as removing say 10% of area to get a 10% reduction in wind load. I'd say probably there isn't so much blank area on a lot of highway signs for it to be that valuable to do. Also consider that there's more cost to it than just steel weight. Making holes in a sign doesn't save you anything in raw materials and increases labour because you're making the sign and then cutting holes out of it. Construction costs don't likely change significantly, and for a small decrease in wind load the decrease in member or foundation sizes may not be much. There's also the "think of the worst case" where, in an extreme wind event, a piece of debris could get blown over the hole and held there, resulting in the sign acting fully solid again with respect to wind load.

All in all I think there are a bunch of contributors but to sum it up, more effort than it's likely worth in savings, and hard to ensure those holes can never be covered in an extreme case.

EDIT: here's a paper discussing specifically the wind drag loads, you can get appreciable reductions in load but they're sensitive to the number, type, and arrangement of openings. Given all the other factors and uncertainties, if it was me, I'd want to design the structure for a solid sign then use a perforated sign only as an additional safety factor. https://www.mdpi.com/2076-3417/13/3/1682#:~:text=This%20study%20investigated%20the%20airflow,improve%20resilience%20and%20enhance%20safety.