Because right now, we are free of the Mammoth instigated Zombie infection (MiZi™). Our ancient ancestors killed off the mammoths, because they recognized that they were the start of the zombie infection. It helped that it was much colder then, as zombies don't like the cold....not counting the white walkers.

But seriously now, I'd love to see mammoths ranging around too, but there's gotta be someone out there who's big on chaos theory who thinks that the unintended consequences may be troublesome.

~Jeordam