Because you really don't want heavily polluting industries (oil refineries, chemical plants, steel mills, etc) close to a big city.
At the risk of stating the obvious, the point of my question wasn't to literally determine whether any big cities exist without heavy industry nearby, although that would be sort of interesting if it were the case. The point is that any such city is going to be an exception to the utterly ludicrous statement of the OP, "Because you really don't want heavily polluting industries (oil refineries, chemical plants, steel mills, etc) close to a big city." Big cities have always had this. The people there do not "want" them there any more or less than people in a small town would "want" them there.