It's because they cost almost $50 a pop. At least at the site I found with a quick Google, a hand-delivered (and that's they way you'd want it to be) telegram is around $43 plus .89 cents a word.
You have to wonder how they actually have those delivered. I mean, surely they don't have offices in more than a few cities across the country. If I had a telegram delivered to someone, say, in Fort Wayne, I wonder if they would just open up the Fort Wayne phone book, make a long distace call to the first pizza delivery place listed and say "are you delivering any pizzas near the corner of State and Main? You are? How'd you like to make a quick $5?"
Personally, I'd love to deliver telegrams. How awesome would that be? I could wear a fedora and dress like I was all 1940's and slick my hair back with a nice part and go to peoples' homes and businesses and say "Telegram!"