Why do we lose our privileges?
I don't particularly like the top answer on the most famous question:
What's the point of
putting your reputation on the line for a bounty if there is no consequence of losing it?
This does not apply to privileges, so I have cut out reputation altogether. Much better!
What's the point of a bounty?
Bounties are for users who really want to put their question in the spotlights to get it answered.
You don't get a lot for nothing here; so, as a consequence, it comes with a cost. Your hard earned reputation is the only thing you have to pay for the obligation, you literally lose your reputation. And because privileges are heavily associated with reputation, you lose them as well in the progress.
If we were to be really nice people, we could perhaps maintain them. But that introduces extra work and inconsistencies in the system. There is no longer a direct mapping between reputation and privileges (a low reputation user with mod tools?!) and they'd have to maintain a separate field / table just for the privileges; these may sound like trivial to implement, but brings along other problems.
What if they were to change the reputation level at which you gain a privilege; this happens to beta sites and has happened to Stack Overflow as well, who knows one day Super User will be so crowded (or inactive, let's hope not) that we'd have change the reputation levels as well?
Where this currently involves a simple comparison (reputation > editPrivilegeLevel) it would otherwise involve some more logic to get it working the way it currently works, even by just adding a separate field you'll need that field to be synchronised with the other field which adds extra logic and has the problem described in the previous paragraph.
It's eventually possible to rewrite a big part of the code to implement this, which some minor drawbacks; but it'll probably never happen since the current system works well enough and there are more important bugs to fix and features to implement.
It's like we use to say in Belgium...
Bezint eer u begint. Chill out before you start.
... or its Antwerp version
Denk aleer gij doet, en doende denkt dan nog. Think before you do; and while you're busy, keep thinking.
This counts for both parties, the person giving the bounty and the people implementing the system.
Why isn't this a problem?
If you just ask and answer just a few questions, you'll have that reputation back in no time. We're talking about 5 votes a bounty here, not to forget there are other ways to gain reputation as well (suggesting edits, earning a bounty, ...).
You're always either learning or educating, so not being able to gain reputation isn't an excuse.