This behavior originates from traditional drafting. Pen widths are standardized to a few fixed pen widths. The pen width should not indicate the size or width of a real world object in CAD but rather the role of a line in a drawing (a 0.25mm wide line might indicate a visible edge, a 0.13mm line might be a part of a dimension entity or a hidden edge, etc.). Scaling line widths would work against these standards.
Note that you should always be aware at what scale / on what paper size the drawing will be printed before you start with a drawing. Line width standards often depend on paper sizes but not in a straight forward way that could be achieved with a simple line width scale factor.