Why do so few hotels in New York have swimming pools?

Obviously real estate, but also weather. However, because of the limited supply, a handful of new hotels have realized that they can drive demand and rates by offering the rare amenity and throwing sexy summer pool parties (i.e. Thompson LES, Dream Downtown, Trump Soho, James Soho, Gansevoort Park).

As the other answers aptly noted, swimming pools are installed in very few hotels in New York City primarily because of their space requirements and cost, and a lack of demand from hotel guests makes them cost-ineffective as a hotel amenity (hotel swimming pools do not generate revenue).  In addition, very strict building codes and OSHA safety requirements are extremely cumbersome and expensive where swimming pools are allowed to be constructed in hotels in NYC.  Liability insurance is enormously expensive, as are labor costs for personnel required for lifeguards that must be in place and, of course, routine and ongoing maintenance expenses.

Square footage prices keep big space occupying things like pools or roller-rinks out of Manhattan. ... and the fact that most people who come to stay in a hotel in New York City don't come to swim. The QT in Times Square had one in the lobby which was pretty cool.

With some of the most expensive real estate in the country having a pool does not generate substantial revenue for hotels.  As a note when I was a kid I used to sneak into the roof top pool at the Holiday Inn on W. 57 St between 9th & 10th Avenues.                                                                                                The Henry Hudson Hotel at 57 St and 9th Ave had a beautiful indoor pool but when taken over by Ian Schrager and turned into the Hudson Hotel the pool is no longer open and the entrance was moved to 58th St off of 9th Ave.