Because the consumer device uses a know current value and no more, where your Arduino can use an unknown maximum because of the stuff that may be attached. Also, a consumer device will be packaged inside some device and all the rest of the components must be able to work up to 125 degree C. Then the consumer device build will use many reels of the regulator and a penny saved when you have to buy 5,000 at a shot, adds up to considerable savings.
Paul