The sarcastic answer is, "Because WGT won't let you."
The real answer is that the club sets were programmed as one entry in your equipment all the way back in 2007. Each player was only slotted one iron set in their equipment and they are not slotted as individual irons.
Should WGT try to break up that programming nearly nine years after they were originally programmed would probably unleash a world of problems and glitches with the rest of the game.