I would imagine they do it to make more money on new games. Most games in the online store I've seen are priced around $20 to $25. Most physical games cost $50 to $60 when they are first released, which probably includes several dollars in per-unit cost for manufacturing and materials. Despite the manufacturing cost, I think selling a game on the store would reduce per-unit revenue by about 50% (assuming a lower price point).
Once a game has been out for a few years, it will sometimes find its way to the Playstation Store. When it does, I've noticed it has about the same price as a new copy of the physical game.
This is similar to the book market. When a book is first published, demand is high, so the publishers make it available only in high-cost hardback format. Once demand is lower, they'll release the book as a cheaper paperback.