The obvious answer is cost. Perhaps $5-10K per mask, including all fittings etc, so may well be in the 7 figures for an entire aircraft (say a 737 or Airbus A320). Unless there's any other logical reasons.
Cost really isn't the issue. Putting advanced masks and equipment in each seat is possible, and yes, certainly more costly...but there's more to the issue. A sealed mask such as what's available at the pilot stations uses a lot more oxygen, requires more training to use, is more difficult to use, takes more room, requires a lot more maintenance, etc.
The masks we use have microphones installed, are fitted before each flight (depending on the system in use), are quite expensive, use larger hoses, and in many cases, dedicated receptacles which of themselves are advanced pieces of equipment.
Crew oxygen comes from compressed gas oxygen cylinders. In many airline aircraft today, the masks are fed by oxygen generators; canisters that preclude the need for heavy cylinders and the weight of additional lines and tubing, regulators, etc. This is a space saving and weight saving issue, and weight is a very critical issue on any aircraft. To install enough oxygen cylinders to a large airplane to serve all the passengers for the necessary duration of the flight and the same types of masks available in the cockpit wouldn't be practical.
There are smoke hoods and filters available on the market which you can put in your carry-on gear, such as the Evacu8 system...not much bigger than a soda can (
EVAC-U8 Smoke Hood-$75.00), that can be used in an emergency. They serve to protect your eyes and your airway. Some places won't let you have one on board, some will. Ironically, my own company crew policy prohibits the carriage or use of such systems.