24 hour transit service makes maintenance of tracks MUCH more difficult. New York can manage it because many lines were built as express lines, so they are quad-tracked. This means they can do maintenance on two lines at night while the other two remain open. Even 21 hours makes maintenance really tough as it essentially forces people to work three hour shifts which is quite inefficient.
EDIT: Also, train service doesn't have much advantage over bus service late at night as traffic is essentially zero.