Asking "Why do investors invest in 'XYZ' style" is often a matter of soliciting opinions, so I don't pretend to be comprehensive in this answer. By way of disclaimer: this answer is also not professional advice - consult an appropriate professional for that.
However, if we look at how people invest, here are some of the things we see:
access to markets: not all brokers make offshore stock exchanges available to their clients;
cost of access: even if a broker provide access to overseas stock exchanges, it can cost several times more in brokerage fees to invest in an offshore stock than to invest in a local stock;
time zones: depending on where you are and where the offshore market is, their trading hours might coincide with sane sleeping hours in your own locale; and
familiarity: this cuts both ways, but aside from companies with global or at least intercontinental reach, people will tend to be more familiar with local companies than non-local companies.
Working with multiple currencies also plays a part. Aside from the currency risk that others have mentioned, if you invest in shares that are traded in non-local currencies, you encounter the hassles of FX: opening FX accounts, accounting for FX gains and losses, and possibly even make your tax returns more complex.
Depending on the requirements of the stock exchange's country, you might also need to interact with foreign bureaucracy and perhaps tax and legal matters. If the two countries have different financial years, end-of-financial-year reports might come out at an inconvenient time for you. And if you make gains, there may be withholding tax etc.
None of this is insurmountable, but investment is already a complex thing, so extra hassles (such as those associated with offshore investments) tend to make investments less attractive.