The main reason why is tact.
If you want to make a heathen into a Christian, starting off by telling the heathen that his god is false is untactful and unlikely to win you a convert. It's more effective to be a good Christian when you're around them, improving their lives by being helpful to them. Then they'll come to you, interested in what your religion has to offer. You want to make the heathen willing to convert on their own terms.
This is what missionaries do.