There are a number of factors. Size, for one. Wings are big. They are also heavy. And during a vertical take off and landing, they aren't wings. They're sails.
That does make a lot of sense. I wonder, would a better design include making the arms attaching to the rotors have the same aerodynamic profile of a wing, made of carbon fibre to reduce weight. For propulsion the rotors can rotate do different angles depending on desired speed?