Because they hurt
Because we don´t know if we are going to like the lesson we are going to learn from it.
There's so many other mistakes to make and if you've already failed at something, you're bound to be afraid of failing again.
Because situations change and whatever we've learnt from our mistakes are again useless in the new situation. ;)
because learning from your mistake is not all there is to a mistake
Not everyone learns from their mistakes right away. & it's never a pleasant or good time, that's for sure...
Because we did not REALLY learn
Some mistakes are fatal.