Myriad a reasons, I'm sure, with the one that comes to mind presently, that of modernization. Being that we haven't built a new one on 20+years I believe, yet our population continues to grow, increasing demand of an already referenced finite supply.
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"We?" I do not think that any of us here, OR the government, acting for us, builds refineries. Refineries are built for the oil companies by the oil companies, and for their own interests, the principle interest being to make money. The growth in population and demand is hardly a secret.
It is very, very, extremely unlikely that the only reason THEY have neglected, refused, or failed to build one or more refineries is due to government regulation. It is no doubt also true that currently existing refineries can be and have been modified over the years to have more efficient operation and a higher output.
Let's not blame ourselves for a lack of refineries. We might as well blame ourselves for a lack of or abundance of shopping malls and burger joints.