I know Presidents are still referred to as Mr President when they leave office as a courtesy but why aren't First Ladies addressed as First Lady upon leaving the White House?

I've never though of that before!

I guess the main reason first ladies don't retain their title is because it would cause confusion.

By definition, the term "first lady" describes a current relationship (between the head of state and his wife).

Also, the term "first lady" is a custom in itself - rather than an official title, so its application is defined by traditional use.