I'd imagine because its difficult to get over the idea of it being Tony Soprano. JG is a very distinctive looking guy. He cant do much with his face or hair and I cant really see him slimming down for a role. His only tool appearance wise is to grow a beard - which he has already done a few times. I just imagine most casting agents think he's gonna charge the earth to get onboard and once he is the audience are just going to be thinking of Tony anyway. Put it this way. Supposing you're a sales assistant and Al Pacino walks in your store. You're more likely to be 'wow thats Al Pacino' than thinking about Michael Corleone or Tony Montana or whatever. He's distinctive in his own right, and although he embodied those characters at the time, he put little of his own personality in them. Its almost difficult to relate the actor to the character. With JG, everyone will be thinking 'oh my god thats Tony Soprano' and theres nothing he can really do about it.

All that, plus the fact he's seems pretty serious about 'proper acting'. i imagine he's far more interested in small projects he believes in, than big Hollywood smashes. He's got all the dough he's gonna need after all!