Well I'd imagine that you or your staff would have to servise the auditors, meaning that you wouldn't be doing your normal job. In addition, you would probably have to provide a number of extra reports that the auditor could review, which someone would have to spend time producing.
Next; you'd have to justify to someone that time (=money) is being spent on this audit, and that outsiders would have to be let in to see things, or internal things will have to be relased to outsiders.
But then the kicker; What do we get out of it? How much does it improve the shareholder dividend?
Then add in some fear; how much do you like someone looking over your shoulder? What happens if they say that something is bad; how is that reflected in your pay packet (no pay-rise / P-45)? Do you not have enough problems already with users, managers, etc?