Reason 1: Catalyst runs on Windows, and many (most!) of the programmers they pay to work on Catalyst are focused on Windows.
Reason 2: They couldn't get the Gallium3d open source stack running well as a replacement Windows driver, even if they tried. Main reason is that all the encumbered code (UVD, probably catalyst AI heavy optimizations, probably stereoscopic 3d, probably crossfire, i.e. most of the things they refuse to bring to the open drivers) would never be allowed to be open sourced. Other companies' legal property is within Catalyst, and that magic sauce will never be allowed to be in the open drivers.
Reason 3: Because of Reason 1 and 2, it is impossible to not continue developing Catalyst for Windows if they want to continue to support 90% of the PC market's OS of choice.
Reason 4: Because of Reason 3, they can't divert funds (which really just comes down to salaried employees) away from Catalyst to focus on the open drivers. They have to spend "extra" money on the open drivers, and they don't have a lot of extra because Intel is owning them on the CPU front and they're still spending heinous cash developing new CPUs.
Kinda wish the ATI/AMD merger never happened... well I think some of AMD's more open source friendly culture influenced ATI positively, but on the other hand, ATI is basically the only viable business unit keeping AMD afloat. Their CPUs are an absolute joke. The ATI graphics cards must be their cash cow, preventing them from going bankrupt (yet), because they have an actually competitive product.