Because other instruments are self-referencing. A properly tuned piano, guitar or fiddle, does not require the player to identify A-440. Once it is tuned, the instrument will do that for you.
No matter how well you "tune" your theremin, you cannot blindly find A-440 unless you have perfect pitch.
Perfect pitch is not really an advantage for a musician except in the case of "a cappella" performances from vocalists or thereminists. In the absence of perfect pitch (or a reference tone of some kind), an unaccompanied vocal or theremin performance is bound to wander either sharp or flat and the longer the piece is, the greater the discrepancy will be between the key you started in and the one you end up in.