Simple answer: it's a CLR limitation.
(I haven't seen a good, concrete explanation for this anywhere... I don't remember seeing one in Eric's blog series about it, although I may well have missed it somewhere.)
One thing I would say is that both delegates and interfaces already form "layers of indirection" over the real types; views on methods or classes, if you will. Changing from one view to another view is fairly reasonable. The actual class feels like a more concrete representation to me - and shifting from one concrete representation to another feels less reasonable. This is a very touchy-feely explanation rather than a genuine technical limitation though.