1 Because they did so well at it the last time?
2 Nokia was a great brand, and one of the first inventors and innovators in mobile technology.
3 But their product fell behind to products from Apple and Samsung etc, and their hail Mary pass was to team exclusively with Microsoft with Windows Phone. Some may say that this was a bad choice for them, but I disagree. I think Nokia would have been hemorrhaging money equally if they had decided to build Android phones. And Google would not have come to their rescue. The fate of that Nokia would be that of Motorola, another very old brand name in mobile phones, that was purchased by Google for what one can only assume was the patent portfolio, and the parts that Google didn't want were later sold to Lenovo.
In 2016, Nokia can legally begin to start designing and building cell phones again. Except that all of the people they employed to do that are now Microsoft employees. Maybe some would leave and join this new Nokia venture, but they'd be starting at ground zero. No previous designs they could use. No patents they could employ to keep their costs low. No manufacturing, since those Nokia factories belong to Microsoft. They'd either need to start by building expensive plants, or just outsource that to Foxxconn or a similar company.
This new Nokia may make some people happy to see a phone with NOKIA emblazoned across the screen,
4 but that phone won't have the soul of Nokia, it won't be of the lineage of the Nokia 3300, or the N8 or the Lumia 1020 or any of the iconic Nokia phones that people would be expecting.