Because it's not a right given by any law. It is however mostly unenforcable, so the legality of the action is pretty much a moot issue.

Edit: oops, I had forgotten about the Home Audio Recording Act.. means, if you don't sell it, you can't be found infringing when making digital copies. There have been no cases to date, of someone being prosecuted for having "illegal" copies of music. Only companies who make money through advertising/investments/subscriptiong are being sued.