Because most of the artifacts have horrible side effects. Just look at what happened to Artie. Besides, Warehouse agents are generally not supposed to use artifacts for their own personal purposes. If it was that easy to bring someone back, lots of agents & regents would have never died, and the show would be pretty dull, as there would no element of danger at all.
It's good that Lena died and Artie and the others have to deal with it. It only makes sense, not to mention makes for better storytelling.