Because 1. a processor with a lower TDP doesn't necessarily actually use less power, at least not if your cooler can dissipate much more than the TDP, which it typically can.
And 2. because you can simply limit the clock speeds of any higher TDP CPU to reach any TDP you want. If you want a 35 W 3900X or 9900K, just set the clocks to whatever you need to reach 35 W max power usage, and you're done.
Of course the lower TDP parts are typically cheaper, so it makes more sense to buy those. But that's their differentiating factor, the price, not the TDP.