Here's a bit of unintuitive logic. In homebrew games, experience points are actually a malus, not a bonus. The DM will generally scale encounters to match the party level, so gaining levels is a treadmill. At best, it goes nowhere. At worst, you're playing 3E or 4E and the scaling guidelines assume that you've picked up wealth along the way. If you haven't, gaining levels actually makes a character weaker relative to their enemies.
On the other hand, other forms of power like wealth and magic items are strictly bonuses. Those things make characters stronger, but enemies don't become stronger to match. Therefore optimal play is to scout around for secrets, sneak past the monsters, negotiate instead of fight, and generally try to grab all the freebies before picking up a level.
However, people don't do this for three reasons.
The first is an illusion. Gaining a level is an obvious increase in strength, but monster scaling is hidden. From a distance, experience points look like they should make a character stronger. It's only when you peek behind the GM screen that you see the downsides.
The second reason is psychological. Levels are a tangible mark of progression as a character matures and moves on with their career. Gaining a level feels good.
Of course, the third reason people don't do this is that it would confuse the DM to madness if players started acting like sane rational human beings rather than murder-hobos.
