Is it feasible to create a new key for symmetric encryption for each message rather than negotiating a long lives session?

The normal method of providing an encrypted channel appears to be negotiating a session key (using Diffie Hellman or similar), then using this key for a long lived session. Even IPSec that is message based negotiates a key first that is later used for many individual messages.

What are the reasons against instead having each individual message be encrypted using a symmetric cipher, with its one off encryption key being derived from the message, using Diffie Hellman, encrypted using RSA etc? Is it simply due to higher computational complexity in deriving this key vs decrypting the symmetric cipher using a known key, or are there other reasons for this?