Because with an air crash, being out within the first minute or so is essential to survival. With a rail crash, that is pretty much never the case - people who get out in the first minute or so in panic are often squashed by a train on an adjacent line. It is better to stay put, during which time the errant shoes could be located.
I understand that, but as I said it's all about the perceived risk. Using Wikipedia let's compare accidents where a train has derailed or completely left the tracks (we'll use that as the criteria for having difficulty in retrieving your shoes) and compare it to commercial airline accidents we get the following lists for 2000 to 2009:
Airliners
10 May 2001 Spanair Flight 3203
18 August 2007 Swiss European Air Lines Flight 444
17 January 2008 British Airways Flight 38
13 February 2009 BA CityFlyer Flight 8456
Rail
17 October 2000 - Hatfield
28 February 2001 - Great Heck
10 May 2002 - Potters Bar
6 November 2004 - Ufton Nervet
23 February 2007 - Greyrigg
So really you're just as likely to be walking on broken glass, etc. either way. It's worth noting that none of the airline disasters involved the aeroplane catching fire (two of the four aircraft involved were repairable) so the 'need to be out in the first minute' argument might not be any more applicable to aircraft.
Don't get me wrong, I think keeping your shoes on is the right choice - I almost always keep them on both on planes and trains.