There is no one answer. I have heard the company's demise as being due to mismanagement of their major lines (and indeed, I think what they did to Traveller was a travesty) as well as the Gygax Mythus lawsuit fiasco. It was probably a combination of factors.
You can find the original GDW headquarters sign and some other goodies, including the original painting on the cover of "The Traveller Adventure" at the Medieval Starship in O'fallon Illinois.