Because he went back to US after Escobar's death.
From Wikipeida page of Stephen Murphy:
He became a local police officer in West Virginia, where he stayed for four years, before being transferred to Bogotá, Colombia, where he played an important role in the killing of Escobar. After Escobar's death, in December 1993, he returned to the United States in 1994, where he continued to work with the DEA until his retirement in 2013. Today he heads a law-enforcement private consulting firm.
So show is just being true to the real story of Murphy.
Also official words from the actor himself:
Will Boyd Holbrook reprise his role as Steve Murphy for “Narcos” season 3?
Holbrook: “We’re still working it out. Steve didn't retire from the DEA until, I believe, two years ago. He was very active in the DEA
for a long time so I’ll leave that up to you to find out,” the actor
However, when Holbrook had been tapped to play a role in “Logan,” he
changed his statement and confirmed he is out from the “Narcos”
series. He said that the “Narcos” casts and staff are already shooting
some scenes while he is busy on his movie, confirming he is not
involved on the new season. - (Source: telegraph.co.uk)