Probably for some of the reasons that have already been mentioned. There are a lot of places to hide, there are probably rodents around to catch. I would also think that maybe they get fed and they don’t need to find another place. The Colosseum is a tourist attraction and lots of people come and go. When they see a cute kitty maybe they give them some scraps or something. If I were living in an old, huge, spacious house where I was free to come and go (roam, if you will ;]) and people came to visit and bring me food daily I probably wouldn’t leave either.