Because if it were an instance level field, then it would actually be "Per Thread - Per Instance", not just a guaranteed "Per Thread." That isn't normally the semantic you're looking for.

Usually it's holding something like objects that are scoped to a User Conversation, Web Request, etc. You don't want them also sub-scoped to the instance of the class.
One web request => one Persistence session.
Not one web request => one persistence session per object.