Good question! Two reasons. The first is that most targets are moving, and for that matter the wielder tends to shake the weapon while firing it. A laser needs time to dig into something, and while a laser pulse can be many millionth's of a second long, it takes a lot of these pulses for it to dig a hole.
The second reason is more in-depth and I'm not a physicist, but my interpretation is that it would contribute to the problem.
Do you know how a laser cutter works? It usually has a set of mirrors which reflect the laser over the target, and then a lens which focuses the laser to a specific point. The key word is the lens, which has a particular focal distance.
Laser weapons in this setting have a lens assembly on the front called the Focuser, which features an inbuilt rangefinder (older laser weapons don't have an automatic rangefinder, so you have to configure it manually) and adjusts the focal length of a multi-lens assembly to match the target's distance. The problem is that while this works for long distances, it's not really possible for the Focuser to detect how deep the laser went into your target, since it's not directly centered in front of the laser. So the Focuser continues to pick up the general distance to surface of the target, regardless of the hole you've punched.
For REALLY BIG lasers the need for a lens disappears, and it can indeed penetrate deeply into most targets. But for lasers on a budget, i.e. most handheld weapons with a battery, you need that focusing array, and hence, get non-optimal performance.
There's also performance-based reasons, like having to get the matter out of the hole, and that being more difficult the deeper the hole is, but I'm not qualified to even take a guess at that.