Because they never saw it coming.
While they were basking in their glory and bragging about their success, the foundations were beginning to erode beneath them.
I would suggest that most of their plastic fans have already jumped ship (I've seen one or two of them in City tops). However, the fans that are sticking with it (for now) are in that strange place between apathy and denial.
Most rag fans can be split into two categories; the first, have lost all interest in the game, and will tell you that money has ruined it for them.
The second; are in denial about the club's situation, and they appear to have lost all common sense and perspective about football in general.
It's ironic, I haven't been able to talk to a rag about football for over twenty five years now. The first fifteen they were too bolshy and arrogant and the past ten years they've become too disinterested.
Although, on reflection, I've probably not missed much.