I have no idea but I guess at the time they considered having it on the nio SocketChannel good enough...
Also, Socket has been around for a long time. New code that started to refer to it as a Closeable instead of calling Socket.close() would not be backwards compatible so maybe at the time of 1.5 (when they added Closeable) they just didn't think it was worth the effort considering that quite a few users would still want to be compatible with 1.4 and as it has no other generic interfaces you rarely treat it as anything but a Socket.
I guess backwards compatibility with 1.4 is less of an issue nowadays which could be why it is coming in Java7.
"akappa" has an IMHO other valid point.