While the episodes may only take a week to film, they have to do all the pre and post-production stuff. If a single director directed every episode, there's no way they could do 20-something episodes per season, unless it were a live show like SNL.
It's also a good idea because the director would get very sick of doing the show around episode 3, working tirelessly, no breaks. This keeps the show from declining in creativity. Many shows also have different people write the episodes for the same reason.
Not to mention, different directors=different creative approaches.