Because they don't have the man Jesus Christ as their mediator:
"For there is one God, and one mediator between God and men, the man Christ Jesus;" 1 Timothy 2:5
(Even "anointed" JWs do not accept that the man Jesus Christ is mediating for them in heaven, but instead believe that he is an angel, no longer a man.) Here is the thread on Jesus Christ still being a human. http://www.jehovahs-witness.com/12/61530/1.ashx
Because they are still separated from God:
"Behold, the LORD's hand is not shortened, that it cannot save; neither his ear heavy, that it cannot hear: But your iniquities have separated between you and your God, and your sins have hid his face from you, that he will not hear." Isaiah 59:1-2
JW primarily have Jesus dying for adamic sin, the concept of Jesus bearing their personal sins in his body is foreign to many of them.
"But he was wounded for our transgressions, he was bruised for our iniquities: the chastisement of our peace was upon him; and with his stripes we are healed. All we like sheep have gone astray; we have turned every one to his own way; and the LORD hath laid on him the iniquity of us all." Isaiah 53:5-6
"He shall see of the travail of his soul, and shall be satisfied: by his knowledge shall my righteous servant justify many; for he shall bear their iniquities. Therefore will I divide him a portion with the great, and he shall divide the spoil with the strong; because he hath poured out his soul unto death: and he was numbered with the transgressors; and he bare the sin of many, and made intercession for the transgressors." Isaiah 53:11-12
"Who his own self bare our sins in his own body on the tree, that we, being dead to sins, should live unto righteousness: by whose stripes ye were healed." 1 Peter 2:24
Because they reject the new birth:
"Marvel not that I said unto thee, Ye must be born again. The wind bloweth where it listeth, and thou hearest the sound thereof, but canst not tell whence it cometh, and whither it goeth: so is every one that is born of the Spirit." John 3:7-8
"Being born again, not of corruptible seed, but of incorruptible, by the word of God, which liveth and abideth for ever." 1 Peter 1:23
Because they have another Jesus, another spirit, and another gospel:
"But I fear, lest by any means, as the serpent beguiled Eve through his subtilty, so your minds should be corrupted from the simplicity that is in Christ. For if he that cometh preacheth another Jesus, whom we have not preached, or if ye receive another spirit, which ye have not received, or another gospel, which ye have not accepted, ye might well bear with him." 2 Corinthians 11:3-4