I personally think that it IS price. But overall price--including cost of manufacturing. Copper is more expensive in bulk than aluminum, but not so much so that it would be difficult to mass-market an all-copper heatsink. And copper isn't THAT difficult to machine, if you're starting from SCRATCH. However, the tooling/knowledge to machine aluminum is widely available and well-documented. So a startup company can easily obtain the expertise to manufacture what they design out of aluminum.
In terms of heat transfer, copper is superior as a bulk material. BUT, the amount of heat transfer from the heatsink is the convection coefficient (h) times the exposed area (A) times the difference between the heatsink temp (Ths) and the ambient (T0), or, if you like:
q=hA(Ths-T0)
The thermal conductivity of copper ONLY effects the Ths term.... the area and the heat transfer coefficent play JUST as big a role, and are only influenced by design (not material). So, in short, a well designed aluminum heatsink is quite possibly more effective AND cheaper to produce.
As far as going bi-metallic (Cu and Al, for example), that presents a whole different set of problems. Its rather difficult to weld copper correctly.... not to mention, you create resistance to heat transfer every time there is an interface between two parts.
This engineering/economic analysis kind of thing is really at the core of every manufacturing situation.... sometimes for our good, and sometimes for the company's profit.