Well, probably because you would have an open ended, live wire laying around just waiting for an unsuspecting child or pet to get zapped. Then there is the fire hazard the cord itself presents by being live and laying on carpet (not good) or getting coiled up and shoved out of the way, then over heating because it can't disperse the heat created from the current.
Get a power strip with a rating to handle an iron (it says on the package what they can handle) and a cord long enough to reach your work area, to make it easy to turn the power to the iron off with the rocker switch on the strip.