Because making a console is difficult and expensive and all the profit is in software anyways, so why not let other companies take the hit of developing and selling hardware for a loss? They could maybe try doing the Nintendo thing, using innovative features and exclusive properties to be able to get away with making cheaper, less-powerful hardware which can be sold for a profit, but that's easier said than done; even if they decide to do it, they'd be playing catch-up to build (or contract out to) a new engineering team and hoping they know what they're doing. I couldn't finish the article because the blind insistence of the interviewer that Sega make a new console for some reason was cringey.
You can find articles about the troubles Sega had in the mid-to-late '90s which ultimately led to them exiting the hardware business. It's a pretty interesting story. There were powerful egos both in the Japan and American sides of the company which often butted heads and resulted in things like the development and marketing of the 32X, a 32-bit add-on which allowed the Genesis to play more powerful games but was a tough sell when the more powerful Saturn and PlayStation were around the corner, and the fact that the Saturn's US launch date was moved up by several months to beat the PlayStation's, but that meant that several of the games that would have been launch titles weren't ready yet, and while Virtua Fighter was rushed to release at the new launch date and should have been a system seller, that rush meant it had comical visual glitches. Just a whole bunch of really boneheaded and short-sided decisions. They got their act together for the release of the Dreamcast, but it was released while the more powerful PS2, Xbox, and Gamecube were on the horizon… and then the copy protection scheme got hacked such that it was possible to write copies of Dreamcast games to standard CD-R discs around the time that both CD burners and high-speed internet was becoming common in peoples' homes, offices, and campuses, so even making a profit on software was starting to look like less of a sure thing.
Sega would have to be crazy to try to get back into the hardware biz again. (Of course I'm not counting emulation boxes like this GG Micro or the Genesis Mini.)