Why dont web comic creators make normal comics?

They do? I can't think of any popular web comic that doesn't also have a physical book of their comics or digital books with exclusive content.

I would imagine that they only started doing free, newspaper style strips because it was a good way to garner an audience when you're first starting. Publishing your work for sale to retailers and whatnot isn't easy and also costly; something a brand new artist isn't likely to be able to do until they get some notoriety.