This is the authors own opinion, but in short I believe that the theme was canceled because of a crowded market. There are plenty of reasons a theme gets cancelled, lack of interest, poor sales, time limit, but each of these can be applied to other themes that are still in production. The Wild West had to compete with several brand new themes, Ninja, Adventurers, STAR WARS! (the best selling theme ever according to lego) as well as the pre existing market (at the time saturated with almost 5 different space themes) it's a wonder that any theme sold well with all of the competition from the same company.  However I'm grateful that the theme existed and I had the opportunity to play while it lasted.

 UPDATE-  Some of the sets have been re-issued by Lego Direct and are available through Shop at Home.  Thank you Lego Direct!