I think it would be a continuity problem for viewers. People are used to seeing one person at a time sit in the Hot Seat and then play until he or she walks or loses. If you jumped from contestant to contestant, then the viewers will be confused, wondering "Why's he leaving now?" Also, they'd have to keep track of three or more players at once. It's too much for the average viewer.
I'm assuming this is what you're proposing: Player A comes in and answers five questions for $1,000. Then they say, "OK, go in the back and take a break while we bring out Player B." Player B comes in to answer his or her first five questions. Viewers at home would now be wondering why Player A is gone. Is he leaving the game with $1,000? Is he done? Does he get more questions? He was on a roll...
I also realize that time is an issue. The players have an unlimited amount of time to think. Someone's five-minute deliberation on a $64,000 question would bump the airtime of someone else who is waiting to play for $2,000. "Your turn--Oh, we're out of time."
-Dean