Servant has it pretty-well covered -- For console development, in the past, the development kit was comprised of both an SDK (software which you run on your workstation, system libraries, etc) and hardware elements -- for example, on the XBox 360 there was a hardware unit that plugged into where HDD would normally sit on a retail console and the purpose of the unit was to emulate the optical disc drive, among other things.

Companies would have to bare the cost of manufacturing and supporting all this hardware long after it made financial sense to do so. Usually, software development for a platform stops ~10 years after its launched, and in the meantime the next-generation platform has already been out for 3-5 years and all major third parties have moved onto that platform -- most customers by that time, too. Releasing development tools free and clear, even unsupported, would be a nice gesture but it still entails some effort on their part -- they would still need to operate and offer their quality assurance and disc-signing services in order for you to create retail discs, they would need to provide developer support for the times you had questions about the hardware or software. Those things cost quite a lot to do, and occupy resources that could be better spent supporting the new platform.

Some of this might change with this generation -- arguably, the fact that you can still publish and sell XBox Live Indie Games on Xbox 360 even though the XNA platform is dead shows this -- but I expect the current generation will be more open soon, and stay that way. I also would expect that a vibrant indie community will outlast the support of major 3rd-party developers in this generation's twighlight years.

One point not mentioned as of yet, is exploits.

Every piece of software is not a complete re-write. Something like the PSN libraries for PS3 were likely carried over in part to PS4. But this stands for all kinds of libraries, and so anything that is exploitable on the PS2 might still be exploitable on a PS4 if the relevant parts of the shared library carried over. This is even more true when the shared library is something like OpenSSL which recently had a huge exploit found (heartbleed). With the SDK hidden from view, you can speculate that OpenSSL is the backing library in the SDK, but it's harder to prove and exploit directly. This means releasing previous SDKs puts current platforms at risk. This risk has an associated maintenance cost that will prevent companies from releasing their code.