Because it's harder to tell just by looking at a mentally ill person unless he/she tells you. Any act that discriminates against gender, race, religion, physical disability and sexuality have been outlawed - leaving only mental disability open to discrimination. I think the general populace's view on mentally ill people is: "they cannot support themselves, therefore cannot contribute to society". Sure, being able to support yourself doesn't depend on gender, race, religion or sexuality, while the physically disabled can support themselves in different ways (wheelchairs for those unable to walk, sign language for the deaf, Braille for the blind). But the mentally ill, they need other people just to get through life, therefore they are not and can never be independent, so they cannot make a decent contribution to society, and are therefore marginalised by those who do not understand mental illness.

If governments do understand mental illness, they'll make it easier for mentally ill people to get through life. Sounds like a simple solution but it means those people are "better off" than the mentally "fit" so it would drive many people to get a mental health diagnosis of any kind just to be able to get a better life than others. That may be another reason why the stigma remains. And it's usually those with a "survival of the fittest" attitude that stigmatise in this way.