Because it's an ad network and a script tag is how you pull the creative into the page. The whole point of using an ad network is that you are letting a 3rd party handle the management of your inventory, the ad creative is unknown until when the call is made.
It just isn't practical once there were millions of websites that you would negotiate media buys with them individually and send them some image assets or text ads that they would then have to host as a 1st party.
You also have to factor in all the things ad servers are designed to do like control the number of impressions shown, track views, clicks, and interactions, as well as allow advertisers to rotate new creative in on-the-fly.
