Because in most Muslim countries they could not have gotten away with joing a new religion.

Below is a report dated 1998, which is a little old, but I doubt anything has improved in the last 6 years:

.C.N - Aid to the Church in Need

Italian Office

Home
Religious Freedom in the Majority Islamic Countries
1998 Report

--------------------------------------------------------------------------------
Saudi Arabia

--------------------------------------------------------------------------------

Population: 19,072,000
Religion: Islam 98% (95% Sunni, 3% Shiite)
Catholics: 880,000
Apostolic vicariate: Arabia

--------------------------------------------------------------------------------

The Koran is the constitution, hence it is forbidden to practise, even in private, any religion other than Islam. The legal system is governed by the Sharia, the source of the law. The government maintains that it represents the only possible position to safeguard the two most sacred places of Islam, and it prohibits the public and private practice of other religions. Any person who wears any (non-Muslim) religious symbol runs the risk of coming up against the Muhtawwa’in, the religious police. There are serious risks even for foreigners, who are victims of violence on the part of the police and of fanatics. Non-Muslim workers are subject to arrest, deportation and imprisonment if they are caught engaging in any kind of religious practice that might attract official disapproval. According to the theological interpretation of the dominant Wahabi school, the soil of the Arabian peninsula is the country of the prophet Mohammed, the most holy of territories, where it is not even possible to permit the exercise of the tolerated religions of the Book, Judaism and Christianity.

According to a report by Lucia Avallone ("Quando l’Islam non è tollerante" [When Islam is not tolerant], article in Islam oggi No.10, May 15 1994), it seems clear that all forms of worship other than Sunni Islam are forbidden. Many people have been arrested simply for having expressed their religious faith. Even the legal structure of the Islamic state is based directly on the Koran. In the tribunals there are no juries, and everything depends on one magistrate or, in cases of capital punishment, on three judges. The political trials take place in secret and without defence advocates (cf. the case of the death sentence on 16 Kuwaiti pilgrims accused of a terrorist attack on Mecca, who were given no opportunity to defend themselves and who made confessions under torture). The most serious penalties vary from flogging, to amputation of a limb, to public beheading. A Shiite Muslim was condemned to death on a series of charges, ranging from trading in Bibles to throwing stones at the police. There are numerous attempts at forced conversion in exchange for favours or freedom. The discrimination comes not only from the forces of the State but also from the cultural world; school books all toe the official line and the use of any other texts is prohibited.

The Fides press agency reported on July 10 1998 that four Filipinos and a Dutchman had been arrested for possessing and distributing Bibles, while at Riyad the police were continuing to search the homes of Filipino Christians in a climate of heavy religious repression. One of the Filipinos was released because under torture a confession was extorted from him of a crime he did not commit, namely homosexuality. According to Amnesty International, 12 Christians held in prison in Riyad on accusations of possession of Bibles and of preaching the Christian Faith were released and immediately expelled from the country.

The President of the Vatican commission for refugees and migrants, who is also chairman of the Filipino bishops’ conference, Monsignor Ramon Arguelles, has issued a press statement with the names of 30 Filipinos in prison in Saudi Arabia. Some of these were released and have now disappeared. A further eight Filipinos and the Dutchman have been released; one of them has spoken about the tortures inflicted on the prisoners.

There are around six million foreign workers in Saudi Arabia, of whom some 10 per cent, or 600,000, are Christians. 400,000 of these are Filipinos. They are not even permitted to celebrate Christmas, but at the same time they must observe Ramadan. The Filipinos are the most at risk because they come from a Third World country, as do the Koreans and Indians. From 1992 onwards, according to Reuters, there have been an estimated 360 cases of expatriate Christians being arrested for having taken part in evening prayer meetings in private homes. Christian religious, if identified as such, are refused entry into the country. At the most important festivals of the Christian calendar, Christmas and Easter, the religious police intensify their activities. Western Christians who are surprised, are subject to arrest and expulsion. For those of the Third World there is frequent surveillance, pressure through physical and psychological torture and forcible conversion or re-conversion to Islam. Christians who refuse to renounce their faith are condemned to death and executed on the pretext of having broken the law.

This blinkered attitude at times touches on the absurd. In 1979, when the Muslims requested the intervention of a special French unit into the Kaaba, against a group of Islamic fundamentalists who were opposed to the government, the soldiers of the intervention force of the French national police (GIGN - Groupe d'intervention de la Gendarmerie nationale) were obliged to undergo a rapid ceremony of conversion to Islam. Even the Red Cross was obliged, during the course of the Gulf war, to drive around without the symbol of the Cross and not to display its banner. Saudi Arabia considers itself the custodian of Islamic purity. It is for this reason that the symbols of other religions, especially of Christianity, are forbidden - crosses, Bibles and rosaries included - and many foreign citizens end up in prison accused by the authorities of engaging in religious propaganda. Blatant pressure is exerted upon them, even in the workplace, with the promise of career advancement. The Christian religious presence in the country is practically nil, and the four priests who belong to the apostolic vicariate of Arabia, based in Abu Dhabi, serve only the embassy staff. The repression of the Catholic Faith thus goes hand in hand with that of human rights, and there are numerous outrages committed against the Filipino citizens. The most notorious is that of Donnie Lama, a Catholic held in prison for 18 months from October 5, 1995 until his release on March 29 1997 with an expulsion order to the Philippines, thanks to the intervention of international organisations - but only after having received 70 lashes. The accusations directed against him related to his secret participation at a Eucharistic service in 1984. Others who followed him were not as fortunate; Ruel Janda and Arnel Beltran, who were accused of theft as a pretext, were both beheaded. On the occasion of this tragedy the human rights organisation Christian Solidarity made an appeal to the government of Saudi Arabia to desist from its persecution of Christians and to undertake to respect religious freedom, but they have never gone beyond declarations of principle. Currently it appears that there are eight Filipino citizens in prison, though another list speaks of 14 people and yet another of 30. The death penalty, which is applicable to sexual violence, is not applied to Muslims who rape Filipino women. An appeal has been launched by the government in Manila to persuade those who wish to go abroad in search of work not to go to Arabia, but the Filipinos do not seem to have sufficient authority to prevent these abuses of its citizens.

There is a series of organisations which run checks on the working contracts in the Arab countries, but it is not enough because so many immigrants end up in prison without the authorities coming to hear of it. A Filipino woman who has just given birth and whose husband has fled arrest is being forced by the government to remain in her home without being allowed to communicate by telephone. The Church in the Philippines, in its messages to the Catholic faithful, is insisting that the dollars which come from the richest country in the world are most certainly not worth the loss of the cultural and spiritual identity of a people.

The arrests and the expulsions for "blasphemous activities" are also continuing with the objective of intimidating all who remain in the country. Christian Solidarity Worldwide in its issue of November 4 1998, reports that on October 18 the Filipino Christian, Pen Ronquillo, was imprisoned after having been forced to sign three documents, written in Arabic, which contained a declaration of renunciation of any further sums due from his employer and an inventory of his personal property. Transferred the following day to a cell of 10 metres by 15, together with another 60 prisoners, he was forced to sleep on the floor without blankets, even though he was not tortured or interrogated. On the 20th of the month he was taken to the airport and put on a plane to Manila. According to the Religious Liberty Prayer List of the World Evangelical Fellowship, at least another six Filipinos have been forced to undergo a similar form of deportation, while a further seven are awaiting the same fate in the near future. It is true, however, that these extreme measures are often substituted by pressure exercised by their employers to force them to end their contracts of employment before the agreed time, by accusing them of "creating problems".

Here is the link for the above report: http://www.alleanzacattolica.org/acs/acs_english/report_98/saudi_arabia.htm
Once you go to this page, click on "Home" and then click on any of the other Muslim nations if you want to see their reports. It's easy to see why so few Muslims convert to anything else. They risk harsh punishment in many nations (often even death, as Qatarcat said). Thankfully they aren't all as intolerant as Saudi Arabia, but few Muslim nations have religious freedom for either Muslims or nonMuslims.