They will, though.

Sure, things like mortgages or car finance are collateralized against the value of your home or your car, but lots of loans aren't. I could get a brand new credit card today with a five figure spending limit, based solely on my past behavior, and without providing any collateral. People take payday loans based on the promise of future income. Starts ups looking for business loans often have little in the way of collateral to provide. Sure, the bank could come after you for damages if you default, but that's not the same as them having assets to back up the loans they provide.

The entire modern banking system is based on the fact banks can create money without having the assets to back it up.