The reason why is:

"To utilise Magic, a Mage must use Magic Power (魔力 Maryoku) in their body. Magic Power is the source of Power for all Mages, it is composed of Ethernano. Every Mage has a container inside their body that determines the limits of their Magic Power. In the case that it becomes empty, Ethernano comes from the atmosphere and enters the Mages' body and, after a while, their Magic Power is returned to normal." 

So I take from that that while,, yes, a Mage can store magical power, in a world like Edolas, the magical power might be taken away by osmosis/diffusion because the magic is so little there in the air around them. 

I think