Because not all legends are true, especially on Pandora. So instead of hot chicks (and money, power, fame) in The Vault you found one-eyed tentacle trans-dimensional horror. Anyway The Vault was just prison for the Destroyer, not some Eridian weapon stash.
The Guardian Angel used you to defeat the Destroyer. Why would you even want to enter Vault - imagine the mess Destroyer left there over the years? Maybe general Knoxx's secret armory will make up for the Vault :)
I thought that the place where you killed the destroyer WAS the vault, but the myths about treasure were only made up to convince someone to get to the vault and kill the terrible monster before it escaped or something. The only part that confuses me is why we needed to kill a monster that was locked up already. Nobody talking about the treasure and stuff has actually been in the vault before, so they dont know.