Even games written on the .Net platform are often highly optimized for speed like direct access to memory and bus. .Net allows to use C / C++ and mix it with higher level languages such as C#.
Game development studios often work close together with hardware vendors, which do provide access to low level interfaces of their products. This is a world, where you have to use ASM and C for device communication. A virtual environment would slow down these program parts.
Anyway, modern 3D games in fact do use higher level languages. Often, you'll find the game logic written in languages like Lua or Python. But the core (I/O, threads, task scheduling) of the typical 3D game will be written in low level languages for the next 25 years or as long devices do not allow abstraction and virtualization by themself (which will come).
