They naturally are because there's just not much there, it's just an LCD.
Making them thicker means you're making them heavier and less rigid and full of nothing for 99% of their volume, making the entire laptop less wieldy (as it gets much thicker).
It also means the hinge can't go as far back as the lid is now in the way (forget laptops which sit open flush). Or you have to design a completely novel (and much more expensive, and faillible) hinge system which better supports a thicker lid e.g. the Surface Book's fulcrum hinge, except instead of that thicker lid being a computer it's just air, so you get nothing for that expense and inconvenience.
Hm. Interesting: you could put the battery in the screen making it quite a bit thicker, and then have the base thinner, that would change the balance though and it might not be as stable when sitting open on a desk. It'd be great to have a 20 hour life laptop though.
Or we could rearrange cooling so fans stay on the bottom of the machine with heat pipes leading up to behind the screen where the main board is
Or to keep the thermals totally on the bottom just move the GPU and CPU off the main board and put them underneath with the rest of the main board behind the LCD
This allows for a larger battery with more run time, better camera, and it should keep the balance of the machine while keeping hot stuff away from the LCD
Do they have to be?