For what it's worth, here's what I decided for my setting when I found myself asking that same question (relevant section in bold):
"Destroying a lich's phylactery while the lich is still intact does no direct harm to the lich. However, the lich is well aware of the loss, and will usually exercise extreme caution to avoid being destroyed therafter.
Under no circumstances can a lich create a second phylactery; the process of creating a phylactery is as unique an event cosmologically as the birth of an individual, and cannot occur a second time. However, supremely powerful liches deprived of their phylacteries may have commensurately potent means of avoiding destruction (e.g. divine intervention)."
If I remember right, my rationale was twofold:
1- for the players, destroying a lich's phylactery is a huge enough undertaking that, if the lich can just shrug and make a new phylactery, the players are likely to despair or grumble or otherwise feel disempowered.
2- if a lich can just shrug and make a new phylactery, the intensity of their paranoia about concealing their existing phylactery makes less sense.
3- if the players are sufficiently potent that just one phylactery isn't enough, it's probably time to start thinking about a demilich