If the democrats did that, they'd face the actual issues in Iraq and be blamed, against the imagined success that would have happened if the effort had continued. It's hard to argue against that.
By analogy, if JFK had not approved the Bay of Pigs, history likely would say he had blown the US's big chance to let Cubans take Cuba back - the CIA and JCS said it was foolproof.
If LBJ had not gone to war in Vietnam, the right would probably say to this day he'd missed an opportunity to defend democracy there against a small force of a few thousand communists.
For that matter, if Bush had lost in 2004, there'd have been a lot of 'the war was going a lot better when Bush was in charge' history blaming Kerry for the worsening situation.
I'm not agreeing with their view on this, if my guess is accurate about them, but you asked why, and I suspect that's a reason.
But one thing their continuing the funding does do, is to hold the Republicans accountable for their war policy. It gives them the rope with which to hang themselves and show the policy isn't working, instead of providing Republicans with an easy scapegoat to blame for why it's not working.
If you don't like politics like that, talk to the voters who reward it and punish the policies you would like.