Although
@aieeegrunt is largely correct, the correctness is largely irrelevant. The problem is that building new units takes time, so that constantly having to build entirely new units simply means you will frequently be playing with units about one Era behind, and I very much doubt that gamers will accept a mechanic that prevents them from playing with the shiny new units as soon as possible.
Yes, IRL every European Army between 1815 and 1890 (about 15 game turns) re-equipped their armies with rifled muskets, black powder breechloaders, rifled artillery, and then smokeless powder magazine rifles and long range rifle artillery. In game turns, starting with Line Infantry they 'built' every infantry unit twice and every artillery unit at least once (and then rebuilt them again into modern Artillery in the next 3 turns). In addition, they increased the number of units by about 100% (average field army went from 200 - 300,000 each for the Great Powers in 1815 to 400,000 + in 1870 and 1,000,000 + in 1900. Even allowing for larger units, that's a massive increase).
The game simply doesn't allow that unless you buy every new unit with Gold and Religion: Production is much, much too slow to replace your entire military every 5 - 10 turns at practically any point in the game. They could do a complete redesign of the Production/Unit cost interface, but that produces other problems entirely - like how you get enough Resources to build a bunch of units in a few turns and how you handicap Production to avoid turning the game into a Production Ratrace, constructing and reconstructing everything throughout the game at breakneck pace, and making invasions virtually impossible because by the time your units get a few tiles/turns into enemy territory the enemy army is an Era ahead of them!