One of the benefits of an emergency fund is instant availability. I can access those funds almost immediately if needed. If my house burns down or gets wiped out by a tornado, I would rather not have to deal with liquidating investments and waiting for the funds to clear. At that point there will be more pressing issues to deal with.
Earning a return on my emergency fund is secondary to availability in terms of importance, to me at least. There are plenty of good options out there for high interest savings accounts.