Because they have rather different meanings. Capital omega (Ω, U+03A9) is a Greek letter, with the lower-case form ω; ohm (Ω, U+2126) is a symbol used in electrical engineering with a related symbol "mho" (℧, U+2127).
FYI, that all units measuring physical properties named after scientists use capitalized letters for their abbreviation[1]. So the ohm (named after Georg Ohm) is abbreviated as the uppercase omega, no idea why they are different unicode values, since they do not have different meanings.
Note that omega was probably used so that the 'O' wouldn't be confused with '0', e.g. 4O would be confusing, but 4Ω is not.
[1]The tesla is abbreviated 'T', joule is 'J', etc. etc.
