My advisor has implied on several occasions that I should stay and get my PhD, but I don't have any interest in continuing my career in academia. I've got a couple major reasons.
The first reason, and the one that I'm more comfortable admitting to, is that I have no interest in playing the networking game. This was brought home to me when I was reading one of FSP's posts a while back about students who don't recognize professors or other big names in the field. Apparently it's construed as an insult. I'm sorry, but if someone comes up to me at a conference and I don't know their name/affiliation, then I'll treat them with my standard professsional respect, but I'm not going to treat people differently based on how famous they are. If someone approaches me at a conference and has an interesting technical/scientific perspective (and knows what they're talking about), I want to hear what they have to say, regardless of who they are. I refuse to live my life sucking up to various people because they may be good for my career. In industry, I gained respect and greater responsibility because I proved that I could do the work (including interacting with clients). No ass-kissing required.
The other reason I'm not interested in academia is that I'm pretty bad at teaching or explaining things. I can explain difficult, technical stuff fairly easily. But I have a really hard time explaining things that are so simple, they should be self-evident. You can probably tell from that previous sentence why I have such a problem... I have been burned when I explained what I needed, and some people who misunderstood part of my directions ended up doing real damage to samples that can't be re-collected. As a TA, I could never figure out a balance between showing a student what they needed to do to get an answer vs. leading them to the answer. Teaching/explaining things, for me, is a tedious job fraught with difficulty. Being a professor would not be a good fit for me or for potential students.
I'll leave academia to other folks who more suited to it - one less competitor for those post-docs and professorships.