Damned if I know; best guess would be a consequence of (a) in decently busy cities train stations tend to be in dense areas where it's not economical to stick a car rental, where airports tend to have some acreage around them where you can stick a rental lot and (b) small towns only get a few trains a day and fewer non-residents detraining, so it's neither worth keeping a rental office open just for the train station or even considering its location, since the fraction of rentals from the train station is small compared to eg people getting a rental while their car is in the shop.