They don't want piracy and they want to keep 100% of the profits from their games, which they can't do with a distributor (who keep a large portion of the profits for themselves).
Steam does do great things for indie developers though (aside from the fact that they're linked to that damn program) - I talked with the lead of Red Orchestra, and he said that the great thing about Steam is that if they publish on it, they keep the rights to the universe/license and to any further games, unlike with a publisher, who gets all of that (as we in the FS community are acutely aware).