How? They make PC games, pretty much exclusively. What interest could they possibly have in making their own console? Besides, they have no experience at all with hardware! And they are a pretty small company!
That's not true they've had:
Lost Vikings 1
Lost Vikings 2
Rock and Roll Racing
Blackthorne
Death and Return of Superman
Justice League Task Force
And StarCraft: Ghost before it got canceled.
They barely have double the PC games, but they mostly produce for PC because it's their market, and they can build around a KB and mouse.
Also they have experience with hardware, they develop for PC afterall! Consoles now and days mostly use PC parts, anyways.
I think you slightly underestimate Blizzard. :P
Though they wouldn't make their own console imo, because they have no reason to. They are at the top of their world right now.