I alluded to this earlier, but have a few minutes to add a little more. The quality of the 'new' style and the value it adds to the world of Martial Arts is not the salient issue here. I mean, I presume if you are considering putting your own art out there, you think you're pretty good and that you are adding value. So, that isn't really the reason why or why not. As with restaurants and most other small businesses, failure is seldom related to the quality of the product. It's every other part of the business that kills it from accounting to payroll to marketing.
The question on the table here is, "why not?" The answer is risk vs reward. If you are working within a system, you are protected somewhat by the reputation of the system. In BJJ, for example, there are good, better and best schools to attend. Some are excellent. Some are not. But the reputation of the ART of BJJ is pretty good overall. So, as a new black belt, if you decide to put out your shingle, you're likely to get some people walking in the door just because they know and respect the style. You don't get this if you are inventing your own style.
This can be taken even further, if you affiliate with an organization within the style. In addition to the name recognition of the style itself, let's say this new BJJ Black Belt is a Gracie Barra guy and he's opening up an affiliate school. Now you have the reputation of the style as well as the reputation, resources and structure of the organization. Everything from the curriculum to the marketing to the web site design are taken care of. You become a part of something larger than yourself. You benefit from an association with every other GB Black Belt as well as the history and the success. Instant credibility. You pay some amount of money to the affiliation and in return you get a large amount of security. There is much, much less risk.
So, the question is, "Why not just make your own martial art?" The answer is that you can do it, but do so knowing that there is no safety net. You are assuming all of the risk. You may reap the reward. You have to build your own credibility. You have to market your product. You have to address every single aspect of your business. AND you have to develop the style and find time to train. You stand to make more money, if you're that unique combination of martial artist and entrepeneur. The odds are against you.