The answer is roll inertia.
Fighter aircraft need to maneuver quickly, and one of the most important parameters is roll speed. In order to achieve a high roll rate quickly, low moment of inertia in roll is helpful. Placing the engines on the wing would increase roll inertia without much benefit in air combat.
Wing-mounted engines can only be found in designs which were optimized for raw speed, such as the P-38 or the YF-12. Even the Me-262 was initially designed with fuselage-mounted engines, hence its triangular fuselage cross section. Only when the engines grew in diameter during development had they to be relocated to the wing.
Disadvantages of fuselage-mounted engines:
- Worse accessibility for maintenance.
- Variants using a different engine cost much more to develop.
- Engine fires or loss of a turbomachinery blade pose a much bigger threat to the structure.
- No bending moment relief or flutter damping for the wing.
- Complex intake geometry with boundary layer splitter plate, unless the intake is in the fuselage nose. The air requirements of high bypass ratio engines cause high losses with side intakes.
Note that at supersonic speed the engine can actually benefit from the proximity of a fuselage: The precompression of the forward fuselage of the F-16 or the Dassault Rafale help to increase thrust, especially when it is most needed at high angles of attack (well, those relatively high angles in supersonic turns, that is).
Advantages of fuselage-mounted engines:
- Low moment of inertia in roll.
- Lower overall surface area, thus lower friction drag, when compared to podded engines.
- Precompression of the forward fuselage can be used to increase supersonic thrust.