Interesting question. I encourage you to read up on it on the wookieepedia.

In short, at the end of episode 3, C3PO was dipped in gold and had his memory erased. He then served as a translation droid along side the Organa family in the senate.

Some time between then and the events in episode 4, a bomb was placed in his leg. Events unfolded that allowed the safe removal of the leg, but as he was dipped in gold specially, no gold legs were around. And time (or hard times in the Organa family) never permitted him to dip the leg.

That's the canon. But the real reason is simple. They wanted him to look like he had some history. Like a scar on the face.