Sony is shutting down their DNAS servers in March, which FFXI requires to be able to connect. Also, SE's supply of PS2 devkits to compile the files for PS2 to implement bug fixes are dwindling. They can't get more devkits, they've already bought every one available in the world that anyone was willing to sell. They can patch the PC client, but they can't make new assets (graphics and sounds/music) once the devkits stop working, so they're rather stop releasing new content and stop using the kits before they all fail. Xbox 360 support is also ending because Microsoft is shutting down the server that is used to connect to the FFXI servers.

So partially, it's not SE's choice to keep console support going, if the parent companies of the consoles shut down their matchmaking and authentication servers.