Huh, interesting, I thought it would be more common, at least among the Governors-turned-Presidents.
Perhaps it's just my town, but I wonder if it's simply from a lack of trying. I have found local politics to be very personal, bitter, and not all that issue oriented. To me, the position of mayor comes across more as a social status thing than it does a politics thing.
Additionally, most well known mayors are from big cities and probably have the press for that city following them all the time. I would think that a mayor would enter an election with a lot more baggage than a congressman would.