Because it's part of the uniform, uniform as an an adjective meaning "looking the same." Goalies are a lil different and we know where they'll be on the ice, so having them in the exact same uni is less important.
Honestly I want my teammates as recognizable as possible. Sometimes you react to just a flash of color- tough to do correctly if 2 opposing players are both rocking neon orange helmets.
That said.. creative idea. Wouldn't mind seeing it done for an all-star game or something, or as another poster said, all within the color scheme. I just don't think it's necessary and doubt players would really want it, NHL is conservative compared to, say, NFLers with their cleats. And once again, I really do think there are very slight practical reasons.