It would cost them money because they usually sell licenses for each game and each region...
Small publishers have the chance to sell their games only in one market (i.e. America) and pay a small fee, whereas big publishers like SquareEnix pay more because they sell their games (well, the biggest ones at least) worldwide.
When they make a console region free they either lose the small publishers (when the fee is set too high) or make it pretty cheap - where they could've gotten some more money from the big publishers.
That's why they try to stop the importers and mod chipping (a lot of people, myself included, use the mod chip to play US games here in Europe, not to play illegal copies).
BTW:
A bit of history for the region lock:
A lot of old consoles (8bit) DIDN'T really have region locks - the cartridges simply didn't work because of the different refresh rate (50/60 Hz) and the color system (PAL / NTSC. In fact, if you want to play foreign games in color, you still need an RGB cable - composite video won't work)).
That's simply because the consoles used the 50/60Hz not only for the TV output, but also divided their processor clock from it... so the cartridges won't work.
(Nowadays this is no problem - all consoles convert the power and clock internally as they need it - regardless where you plug it in).
Because of that, companies built some mechanical locks so that the cartridges won't fit and couldn't do any damage.
The first region free system was the Game Boy - simply because there is no technical lock.
During the 8bit period the companies realized that they could make more money by "really" region locking their next-gen consoles (because of the licensing fees).
That's why most consoles now are region locked.
The GBA isn't region locked because
- it's still fully compatible with the GB, and the GB also is not region locked...
- the main users of the GBA are kids - and they usually don't import any games. So it would cost more money to create different region locked systems...