Because you are not going to have a lot of users walking around with a simulator in their pocket.
Whenever you're testing your app on a simulator (or emulator), you're using a fake device that cannot be, by definition, a 100% accurate representation of the real thing.
An emulator might be more accurate than a simulator, but there will still be differences. The only 100% accurate emulator is the device itself.
Designing, testing, optimizing code on a simulator results in an application that is finely tweaked to optimally work on a.. simulator. Your users will not have simulators, though; you're targeting the wrong device. A very similar one; but not the very same device that your users will use.
This can lead to several kind of issues. Severe issues like bugs, crashes are certainly your top priority. But there are others; such as ergonomics. Try to hold the Simulator in your hand. Just try. UI elements are rendered on a different screen, with possibly different color rendering, and certainly different dimensions (a problem exacerbated by the beautiful retina displays, not entirely solved by also using a retina macbook, for instance).
Are those exquisite shades of gray equally distinguishable on a device in the sun?
Subtle differences in speed, and different sensor emulation (or lack thereof), can sometimes dramatically alter the experience.
If your application relies on internet connectivity, there is no way for you to switch between LTE, 3G, EDGE or GPRS, to test different scenarios, or even test different carriers.
Are you going to support jailbroken devices? Perhaps you aren't, but if you are, you're probably willing to test your app with one. Or, if you aren't, are you confident that you're detecting a jailbroken environment?
Is the iPad game you're developing on the simulator equally usable when a user is holding its weight and using her fingers to play?
Are unintended multiple touches able to break your app, something that you weren't able to anticipate in the safe single-touch (or symmetric double-touch) simulator environment?
Would you be comfortable boarding a plane commanded by a pilot who has never actually left the ground?
The bottom line is: before shipping, please do use the same device that your users are going to use. None of them is going to use a Simulator.