"Because they melt?" It's a morbid answer, but one that makes sense. Limited things would have limited views. The Snowman couldn't know summer, heat, the beach, a fire, things like that because then he wouldn't be.

And honestly, Cole doesn't really know how Snowmen work but he's got a pretty good idea that if one melted, it wouldn't be the same. It'd either be a Waterman or nothing at all.