I know we can't always apply real-world logic to video game situations, but let's look at what we know of the game's universe.
-you become a walker when you die
-cut off your own arm surrounded by people with no medical training and high chance of death
-your fate is sealed from the end of episode 4, so why would you choose something that would hasten your death and make you a danger to your companions?
-open wound = huge blood loss = surrounded by decaying corpses = infection = DEATH
-Lee's been walking around after the bite for at least a few hours. There's something called circulation, so the walker virus is all over his bloodstream already.
-it takes about a day for people to turn , so I thought it'd make more sense not to cripple myself too badly or I wouldn't be much of a help to Clem.
-remember episode 2 if you chose to chop Ben's teacher's leg off?
I don't know about the current statistics, but when I played ep 5 I was really surprised so a many people chose to cut the arm off when it just makes things worse...