Existing contracts, a lack of infrastructure, and the cost of shipping and insurance would be my guess. Or simply just the economies of scale making it impossible for anyone other than a major retailer to do it.

Retailers can afford to lose a card or two to damage out of each large order (and usually make it back through upselling warranties that customers rarely use); the many individual packages with direct selling would make it far more likely some of them would end up damaged during shipping at AMD’s expense, and would be more expensive to ship than large bulk orders to boot. It’s far more economical to bulk ship to a distributor and let them do all the work.

Besides, would you trust GPU vendors with your deliveries? The “bad drivers” jokes write themselves!

I’d also give GameStop as an example. Even years after digital media took over, they still had significant influence over publishers, up to dictating advertising and release schedules. Partly due to contracts preventing publishers from pulling away, but largely because a lot of people only buy in stores - most significantly, gift-givers and others who don’t know anything about what they’re buying and need an employee to guide them. Holidays alone kept GameStop in the black for years after Steam/Live/PSN dominated the marketplace.

With graphics cards, I’d be willing to bet most people buying them know very little about their choices and need someone to guide them. Enthusiasts are the minority.