Probably for some of the reasons that have already been mentioned. There are a lot of places to hide, there are probably rodents around to catch. I would also think that maybe they get fed and they don’t need to find another place. The Colosseum is a tourist attraction and lots of people come and go. When they see a cute kitty maybe they give them some scraps or something. If I were living in an old, huge, spacious house where I was free to come and go (roam, if you will ;]) and people came to visit and bring me food daily I probably wouldn’t leave either.
@Siren – I bet a lot of them get hit by cars going back and forth between the Colosseum and the forum (for those who don’t know, the Colosseum is right in the midst of the city with city traffic all around it)
@HungryGuy: Wow, I hope not. Maybe they have conditioned themselves to be wary of cars. I’ve seen a few cats watch traffic go by on a street, then proceed to cross the street when all is clear. Come to think of it, I once saw a family of raccoons do the same thing (and Papa Raccoon was the leader in the front, giving the all clear).