As long as the console developers are competitors, which they will always be, its much more lucrative to pit us against one another with exclusives and segregated multiplayer.
Also, from a technical standpoint because different console use different control schemes and other perks like aim assist or extra buttons, multiplayer can become imbalanced just because of hardware. For example if a game utilized both Xbox and PC players in the same server, Xbox might have aim assist to compensate for a slower turn and aim speed, which the PC gamers would hate, and the PC gamers have the advantage of a mouse and keyboard interface, which would anger Xbox players.
I think someone tried this before, and it failed badly.