Well, it's not like there are not. I found only 1 website selling micro usb to micro usb cables. But it seems they solder them themselves.
So why it is so difficult to get them?
It is likely for the same reason that USB A-to-A cables aren't common: host devices should always use different connectors than slave devices. The reason is that serious damage to the USB controller is possible if you plug two ends of a USB A-to-A cable to two USB ports on a host device (like into your computer). It is against the spec for a reason.
A-to-A cables (or cables as you describe) should not exist according to the spec, simply put.
http://www.mcmelectronics.com/product/DISTRIBUTED-BY-MCM-HK-MUS14-/83-11872 Micro-A to Micro-B cables do exist for USB OTG. But I agree, it's very strange that they're so rare, though justified perhaps by the lack of uses for them at the moment (few microusb hosts, like the other answers point out.)