There's several reasons:
A) International shipping that is fully trackable and insured is very expensive. A one pound package can easily be over $25, for example. Businesses must use trackable mail, not the cheap-a** usps non-trackable mail that you use to send your aunt that fruitcake every year. The high cost deters international buyers and creates a lot of ignorant "your shipping is too high" type of complaints.
B) Higher chance of package loss. Packages have a much higher probability of being lost or damaged during international transit, simply because the package changes hands so often. Insurance may cover these losses, but the insurance process is long and often difficult to retrieve for international packages, as so much red tape must be gone through.
C) Unpaid custom duties. Higher priced goods are subject to custom duties, for which the customer is fully responsible in paying. Non-payment of these duties can result in the package being returned to the company. Company must refund full cost to the buyer, including shipping, even though the (high) shipping costs have been eaten. In some cases, the package could even be seized by customs.
D) Credit card companies do not have the ability to match the billing address to the shipping address for international cardholders. In the US, most businesses will not ship to an address other than the billing, and they can instantly do a match to see if it's valid or not. Very large companies may have the resources to do extra verification steps but smaller companies cannot absorb the cost of doing this.
E) Legal reasons -- if fraud is attempted in the US, they can use the full legal resources of law enforcement agencies to track down and prosecute the offender. Not possible over the border.
Now as you can see, there is just so many issues for a merchant to go through. They need to do an analysis of whether it's cost effective to do international trading or not. For a company that sells spare lawnmower parts, for example, there is very little chance of credit card fraud going on. But the electronics industry is big dollar signs for fraudulent activities.