Why doesn't Objective-C support private methods?

The answer is... well... simple. Simplicity and consistency, in fact.

Objective-C is purely dynamic at the moment of method dispatch. In particular, every method dispatch goes through the exact same dynamic method resolution point as every other method dispatch. At runtime, every method implementation has the exact same exposure and all of the APIs provided by the Objective-C runtime that work with methods and selectors work equally the same across all methods.

As many have answered (both here and in other questions), compile-time private methods are supported; if a class doesn't declare a method in its publicly available interface, then that method might as well not exist as far as your code is concerned. In other words, you can achieve all of the various combinations of visibility desired at compilation time by organizing your project appropriately.

There is little benefit to duplicating the same functionality into the runtime. It would add a tremendous amount of complexity and overhead. And even with all of that complexity, it still wouldn't prevent all but the most casual developer from executing your supposedly "private" methods.

EDIT: One of the assumptions I've noticed is that private messages would have to go through the runtime resulting in a potentially large overhead. Is this absolutely true?

Yes, it is. There's no reason to suppose that the implementor of a class would not want to use all of the Objective-C feature set in the implementation, and that means that dynamic dispatch must happen.  However, there is no particular reason why private methods couldn't be dispatched by a special variant of objc_msgSend(), since the compiler would know that they were private; i.e. this could be achieved by adding a private-only method table to the Class structure.

There would be no way for a private method to short-circuit this check or skip the runtime?

It couldn't skip the runtime, but the runtime wouldn't necessarily have to do any checking for private methods.

That said, there's no reason that a third-party couldn't deliberately call objc_msgSendPrivate() on an object, outside of the implementation of that object, and some things (KVO, for example) would have to do that. In effect, it would just be a convention and little better in practice than prefixing private methods’ selectors or not mentioning them in the interface header.

To do so, though, would undermine the pure dynamic nature of the language. No longer would every method dispatch go through an identical dispatch mechanism. Instead, you would be left in a situation where most methods behave one way and a small handful are just different.

This extends beyond the runtime as there are many mechanisms in Cocoa built on top of the consistent dynamism of Objective-C. For example, both Key Value Coding and Key Value Observation would either have to be very heavily modified to support private methods — most likely by creating an exploitable loophole — or private methods would be incompatible.