The same reason funding police departments on ticket revenues is bad. It incentives overzealous enforcement, where it's not so much about preventing people from breaking the law, but instead figuring out what you can pin on them.
Police enforcement includes the police powers of arrest and detention.
GDPR enforcement is (I believe) limited to a fine which can be appealed to a court. If the enforcement department turns out to be wasting court time, then there are likely to be significantly negative consequences for that department (at least, more than for the police in the US).
I agree that fine collection is not an ideal way of funding a department, but not all incentives are perverse just because they exist - incentives are allowed to align.