Because they're too suspicious to hand their cash over to political types:

Some leading tea party activists are concerned that their efforts to reshape American politics, starting with the 2010 elections, are being undermined by a shortage of cash that’s partly the result of a deep ambivalence within the movement’s grass roots over the very idea of fundraising.

Another problem: the big money people who bankroll the conservative movement don't want anything to do with the Tea Partiers—probably because they're as scared of them as anyone else.