Because it would be really stupid and annoying if the AI could march a GG over to your territory and steal a wonder.
If this Wonder is so important to you then why not protect the City.
I consider Machu Pichu to be the single most important Wonder of all, and I often find that the City owning it is within the confines of many mountains with a single hill aproach route, now these Cities are unattackable until the advent of Modern weaponry. You may say "well why not build it yourself", oftentimes I may have fought my way past and conquered two or three other civs before finding my first mountain. Long before I even found the Mountains I had the technology to build MP, so now I am here and I have connected all my Cities, I find a mountain, set up a City and do the maths.
Playing marathon speed.
1 - 74 turns to complete the Liberty Policy tree, get an Engineer, 7 turns to get it there 82 turns to build.
2 - Purchase watermill, purchase granary, get a worker to build a camp on that deer etc etc, so it turns out to be 96 turns. I don't have the money to Ally with any City States as well as the afore mentioned.
In this fictitional game I have bypassed alot of techs to get to currency with the sole aim of building MP, anyway I miss out by a couple of turns and my whole game plan has gone up the swanny.
Basically I have all these long roads connecting my Cities and I am not making any money, if I get MP it will make all the difference, I need to fill in those gaps with Cities, but doing that to early would have slowed down my Liberty Policy tree chase.