Source code files have many advantages over source code databases. Just off the top of my head:
1) Easier to work with. You can open a text file in an IDE of your choice, or any text editor. A database would require an editor with a special interface.
2) Easier to share. It's a lot easier to send someone a single file containing a small snipped of code if that small snippet of code is contained in a single file in the first place.
3) Easier to version-control. Version control is designed for text, which means that text files can be versioned as-is by off-the-shelf version control software. Trying to version database-based code would be a mess!
Keep in mind the "minus 100 points" principle: every language feature takes a lot of work to create and implement, so the question isn't "why doesn't a language have feature X," but rather "is feature X useful enough to make it worthwhile to overcome the barriers to implementing it?" In the case of a feature like this, given that it would require a revamp of our entire coding infrastructure in order to support it, the barriers are higher than usual!