On light aircraft, I can see a few reasons:
(1) Cost - installation and maintenance. You'd want them to be calibrated so that they go off at exactly the same angle of attack; otherwise the left one might go off first even though the right wing is actually closer to a stall.
(2) Weight. It isn't much weight, but every kilogram counts.
(3) If one wing is in a stall, the other wing is probably very close to a stall. Not much point warning about a stall on the left wing and then warning about the right wing half a second later.
(4) How to indicate it? The planes I've been in use a light and/or a buzzer. If there are two different warning tones (one for each wing) then that's just going to confuse people. If there are lights, by the time you've actually identified which wing is close to stalling, the other one is probably stalling too.
In bigger aircraft, where the computers might be able to do something sensible even if the pilots can't, there might be a good reason for it - but if the computers are in control then the plane will never get anywhere near a stall on either wing.