But they're relatively hard to write for. Therein lies the root of the problem.
Also, the format of the show - light action comedy (?) - does not make the jump well to the written word. Fan writers respond by writing in script format (please, make it go away!), or introducing a more serious element to the story.
A script was never meant to be a stand-alone-entertainment media, so it usually can never be as entertaining as a well written book/comic.
Also, the change from one media to another will alter the whole story balance/pacing.
E.g. TKOS: A few seconds showing Fry's sad face looking at his gone love message were enough to tell the viewer his feelings, without giving the whole thing a too sappy touch.
In a book/fanfic, those shown feelings will have to be described (requiring more text), so the whole scene/episode will look much more serious/sappy as in the TV episode (though being exactly the same event).
All in all, I doubt a typical Futurama episode (with TV specific pacing/balance/plot) can be made to work as a fanfic. A good fanfic's style would imhO rather bear similarities to the writings of Adams and/or Pratchett.