While there certainly are some instances of title changes for a new season, it is uncommon for the simple reason that most of the time a title change only makes sense from an artistic point of view, but not from a marketing one, where it can even bear considerable risks. Because the final decision often lies with the network, requests for title changes are usually declined.
As with most things, tvtropes has an article on it:
New Season, New Title
A title change in an ongoing series, prompted by some plot event, a break in production or switching between publishers. Frequently, but not always, involves adding a new subtitle or suffix. Despite the name, does not have to occur at the start of a new season.
In some cases, producers will pass off an essentially new series as a renamed Re Tool of an existing series just to preserve its distribution channel.
Now on to your question:
Why do they almost never change the title of a show for a new season?
The most important part I think is branding and recognizability. If you have established a show successfully with the audience, they will recognize it by its name. If you change the name, you are in danger of confusing viewers and missing out by not making full use of the already successful brand.
The only reason you would even want to change the name of your show for a new season is if some major change occurs. This can be either a change of cast, a new direction of the plot or a completely different tone or setting.
Let's take a look at some examples where the name was almost changed for plot reasons, but ultimately kept for marketing reasons:
Stargate SG-1 had some major changes in Season 9, including new cast (Richard Dean Anderson left, Amanda Tapping was absent for the first episodes due to pregnancy, Ben Browder, Beau Bridges and Claudia Black joined the show) and a completely new plot direction (the Ori replace the Goa'uld as the main enemy). According to tvtropes, they almost changed the title to "Stargate Command", but decided against it in the end.
Scrubs had a completely new main cast for Season 9 and a completely new setting. Instead of in a hospital it now is set in a medical school where some of the old cast teaches the new cast about medicine. The showrunner wanted to change the name, but was declined by the network:
Lawrence considered the eighth season to be the end of the show Scrubs, going so far as to ask ABC if he could change the name to Scrubs Med. ABC declined, but Lawrence still advised fans to treat it as a new show, even putting a caption under the "Created By" on the X-ray in the opening sequence saying [Med School].
- Cougar Town deviated so far from its premise that the title did not make much sense any more, so they wanted to change it. Ultimately they didn't, because the network was not satisfied with the options. They made a lot of jokes about this in the show's opening screen gag.
Bill Lawrence later stated that two potential titles that they wanted to change to were declined by ABC – Sunshine State (declined because ABC also had a Matthew Perry sitcom on their mid-season schedule that season known as Mr. Sunshine) and Grown Ups (declined because of the then-recent film with the same name).
Interestingly enough, the network was generally in favor of changing the title of Cougar Town, because research showed that the title was not interesting enough for viewers who would like the show after seeing it.
As you can see, a title change for a new season is not something that is not generally considered at all, but is often not done because the network or producers don't want it. This shows the conflicting interests of the creators of the show, who want to preserve its artistic integrity, and the network who foremost cares about its commercial success.
Rebranding a show or even completely decoupling it from its former seasons into a new show is a lot more risk than simply keeping the status quo. Just look at why sequels are so popular in movies and games: you can rely on repeat customers. If a new season appears like an independent work of art, it will be judged on its own and not based on the previous seasons (which usually were successful, or they would have cancelled the show already).
However there are some examples where a title change happened:
The fifth Season of Archer is called "Archer:Vice", because the setting changes completely when
the characters previously working in a spy agency are outlawed and have to turn to selling cocaine instead.
8 Simple Rules for Dating My Teenage Daughter changed its title to 8 Simple Rules after the main actor died during the filming of season 2. They incorporated his death into the show and adapted the direction as well as the title.
More examples can be found on the tvtropes page, showing that it is certainly not unheard of, but usually not done for the reasons named.