Because to advance to the next base, you have to tag the current base *after* the catch (at which point you often don’t have time to advance). It’s called [tagging up](https://en.wikipedia.org/wiki/Tag_up), and if you don’t do it, you’re out if a fielder with the ball touches your original base before you do.
That said, runners often *do* advance on long fly balls (particularly from 2nd to 3rd on a long fly to right field), so the premise of your question’s just not true a lot of the time.
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