No-one is saying it's not possible or not legal, it's just (like a defeat, or any other term which means "failure to win") not desirable!
Like in chess, a draw is a satisfactory outcome where any other resolution is impossible (eg stalemate) or would require a move by one player which would amount to concession (eg perpetual check or figle's example above). But I've never heard of chess players agreeing a draw when one is still capable of winning by his own efforts. I don't think you tend to hear at chess tournaments "I can win this, but it's going to take too long, and there's a risk I might lose so I'll just offer a draw."
Diplomacy isn't chess, of course, and you have dynamics between multiple players, but all the players owe it to all the other players to try as hard as they can to win the game for themselves. If that leads to stalemate, at least you all know you've been in a game!
I maintain that drawing a game should not be an objective in itself, just one possible outcome of every player striving to meet the objective of winning. If things are going bad for you, a draw might look like a good outcome, but your opponents (and I include allies in that term) shouldn't really be offering them, and they're not that easy to engineer.