Everything has been pretty much explained by other users already. Steam takes a huge chunk of your income and essentially forces you to offer deep discounts to compete with everyone else. It‘s way too big to not release your game for. Unless you have a huge publisher and go console only (and believe me developers are gamers too and not too fond of exclusivity anyway) you‘re forced to release on Steam where you will make your most sales.

But to add to that Steam also does not offer any support. If you have questions or need help you have to look someplace else which can be pretty infuriating.