Because, like most people, they just want to be normal and be viewed as normal. They want to be part of a mainstream religion and be accepted as just normal people within that larger group. Making a new religion isn't normal or mainstream, so that won't do. Homosexuals largely do not want to be viewed as a fringe in this way, and have their own special "lifestyle" and religion; most of them just want to be like average people, except gay.
In other words, they want to integrate with everyone else. This is because most gay people are more or less normal people, about as normal as heterosexuals and don't want to be viewed as "different" just because of their orientation. Making up a new religion would make their differences more obvious, not less.
But, yes, most of the main Western religions cannot condone homosexuality because it is viewed as a sin. This is why I urge people to stop being conformists and to stop caring about being "normal" and to toss out things that ultimately will not serve them, like a religion that does not want them.