In general, because what everyone thinks of when they say USB is a host-device protocol, and you’re trying to connect two hosts together.
But USB is a blanket term for a number of protocols, and there are protocols that allow a host to switch roles and become a device, depending on what it’s connected to.
If you see a PC being advertised with “dual role USB ports” or support for “USB-OTG”, then you can connect it to another PC. Otherwise, you almost certainly can’t.
If all you want to do is transfer files, you can use something like QuickDAV to transfer files over your local network.