Their games would change considerably if they ever went 3rd party. Currently, their games are designed to sell hardware and fill holes in the platform portfolio. It's fine if a game isn't profitable as long as it manages to drive the installed base a little. As a 3rd party, they'd essentially have to drop everything that isn't Mario, Mario Kart and Zelda, and release entries in those franchises more regularly. And I'm not sure anybody would want yearly Zelda installments by two alternating teams and Mario Kart 2015, 2016, 2017...
I heard that argument before, but is that really true? If Nintendo only makes software they need every game to be profitable, that's true. But what games that they made in the last 10 year wouldn't they have made then?