For the same reason they don't keep their weapons on bungee cords and James Bond villains always have to tell him how they are going to kill him before they try. Heroes die = no story. They provide the story, we provide the willing suspension of disbelief.
"Screw destiny, right in the face." ~Dean Winchester
They are shown having to concentrate for a while to make combustion happen (that whole lurking-in-the-shadows thing).
But last season also implies a level of divine protection that the Brothers (well...Dean) enjoy. It doesn't stop supernatural creatures from attacking, but it may give the smarter and more aware ones like the Thule pause and force them to come up with more elaborate ways of getting rid of the Winchesters.
It's kind of like how it's easy enough to shoot a Thule in the head, but if you don't also burn the body, he's just going to come back later.