There's a common "joke" among engineers that illustrates well the point.
Being light and sturdy requires to use more advanced techniques that you can't necessarily afford if you target the lowest price points (butted tubes, forged/machined parts, constant thickness for tubes,... - see juhist's answer for these points, but the others are either rants or misinformation).
Low quality materials are very cheap, and the cost of more advanced techniques can easily outweigh (pun intended) the price of the additional material. So it's cheaper to design a frame/component for the point with the highest constraint and overbuild the rest.
Otherwise other reasons I'm thinking about:
- BSOs are often inspired by mountain bikes, which adds "features" that increase the weight (suspension, large tires,...)
- typical customers in this segment are not knowledgeable about bikes (without going into clichés, I think someone knowledgeable about bikes but on a tight budget will go to the second hand market, not BSOs). If you are not knowledgeable about material science, it's common to link weight with sturdiness.
- But I would rather suspect buyers don't care/think about weight, they are mostly looking at price and features.
Note: I do not mean however that these bikes as a whole are cheap and sturdy. They also have "cheap and light" parts that will fail fast, and make the bike unusable (because it's near impossible to find parts for these bikes).