The simple answer is "Because it's inconvenient for Nintendo." To some extent, it may be inconvenient to the villains as well. It's a huge world filled with giant, ugly monsters. Surely one of them will do the hero in. No need to lift a finger.
Zant may not have killed Link right away because he recognized him as having the Triforce of Courage, something his master Ganondorf would surely have wanted for himself. Perhaps later, Zant changed his mind and decided to kill the pest when he became too bothersome, as evidenced when he brings old monsters back to life (Stallord) and shattered the Mirror of Twilight to slow him down. It's difficult to say for sure.
Still, I would like to see the villains themselves become more active in shortening the hero's future. We don't need the same boss battle every time, but the danger could manifest itself in several ways. One event could be a horde battle. Another could be a tense chase. As Mangachick mentioned, it could even be just a cutscene. However it's done, a greater sense of pervading danger would probably help the Zelda series. Can we really be expected to believe we're going up against the greatest evil when we go virtually anywhere uninhibited? We don't really get a sense that the villain is so horrible. In Twilight Princess, how do the townsfolk react when Hyrule Castle falls to Zant? With almost nothing. They live life as normal, and Zant doesn't seem to be doing a darn thing to remind them he's not nice. Some soldiers are still stuck in the castle and traumatized by the Twilit beasts, but it's not a pervasive sense of danger.