Because a) you aren't getting more protection, it still only shuts down at the preset surge level. B) you are increasing resistance, which increases the needed amp draw on the second strip to power your device, so to power the second strip, the first one has to have more current then it was designed for, increasing internal heat...enough to melt internal components in worst case scenarios. Please trust me on this, it's not a good idea, that results in numerous fires every year.
Well. I wonder what to do, since most of the reason for doing that is so that I can reach the outlet -- power strips just don't have very long "cords". It would cost a bleeding fortune to have a new outlet put in the wall.
Andria