Although in general multiplatform releases are a good thing, exclusives are what truly keep the industry going. Imagine if there were no exclusives, then quickly one of two competing hypothetical consoles would not sell because their hardware became apparent as the lesser of the two. Since there is no difference in software, the obvious choice would die off, and most likely pretty quickly.
Then with no opponent, creativity and competition will stifle. This is exactly why monopolies are very bad, and exclusives are very good. In fact this is happening with the Wii right now. The Wii has no competitor on its level, and poor games by any Joe Schmo developer have flooded into the Wii's library.
Additionally, timed exclusives are also a bad thing. MGS4, and other PS3 exclusives, have sold PS3s without question. For many people, the only reason they bought a PS3 could very realistically have been to play only one or two exclusive games. If within the life cycle of that console, its exclusives go multiplatform, then you have been duped into making a poor investment (if exclusives were an important part of your decision, which they generally are).
In that sense, PS3 owners have a very justifiable complaint when previously exclusive games go multiplatform, because they could have (and maybe would have) waited and bought it for another console for whatever reason (cost, hardware preference, space saving, etc). No one is offering a refund for a PS3 if MGS4 goes to the 360, and if a business announces that this will never happen, but then it DOES - this bad business will likely kill consumer confidence and act as the industry shooting itself in the foot by creating a consumer culture of mistrust and deal hunting. Consumers then won't believe in your company or product, and will only buy it once you have lost so much money on them that they sell for rock bottom prices. Not out of "fanboyism" or spite, but because they've been taught that their traditional consumer culture is dated and unrewarded.