I can think of a 3 reasons :
- It will change you lens basics characteristics : focal length and aperture for example. If you add a filter between you lens and your camera, it will play as an extender, with the same effect.
- If you find a way to add a filter without adding distance between your lens and your sensor, you still have to find room for electric connection between your camera and your lens. As you can see on most lens, there is not much surface available.
- Sealing might be an issu for weather resistant body/camera combo.