I also would say "why not" but from my experiences it is a path best left untravelled. I'd like to think that if two people get along so well that they'd like to continue past the sp/client relationship then by all means, one cannot have enough friends.
In reality however, when I tried this with two sp's in particular, I ended up getting screwed over emotionally as well as financially. In one case it was a friendship that was leaning towards a romantic involvement and one day she was hard up for rent money so after knowing her for 2 yrs personally, I thought hey, a friend in need and all that. Well after lending her the money, and dropping her off at home, that was the last I saw or heard of her.
So, with all that being said, I say ONLY enter into any type of relationship with a client if you're going into it with purely honorable intentions. If not, no good can come of it....