Avodyne said:
It's because we're generally computing some sort of probability density rather than a probability. For example, in nonrelativistic QM, the wave function has dimensions of (length)^(-3/2) because it is \int_V d^3x\,|\psi(x)|^2 that gives the probability to find the particle in volume V.
It doesn't seem to be this way however. Take spacetime to be 4-dimensional, so that there are 3 spatial dimensions, and take 2-2 scattering. The s-matrix amplitude, <f|i>, is dimensionless like you've said. The probability is |<f|i>|^2 divided by <f|f> and <i|i> (eqn 11.11 of Srednicki's book). <i|i> and <f|f> have mass dimensions of -4 (eqn 11.16 and 11.17 of Srednicki, plugging in V=-3). So all in all, the probability has mass dimensions 8.
This is a true probability, and not a density. You can integrate over all final states, but that does not introduce any mass dimensions (eqn. 11.19), as momentum space is peculiar in that you can have: sum over states=\frac{V}{(2\pi)^3}\int d^3k. The volume V cancels the mass dimensions of the integral d^3k.
In nonrelativistic QM, integrating in coordinate space seems to be different than momentum space in that in momentum space, you can multiply by the whole volume V to make the integral dimensionless if you want. However, in coordinate space, there is no whole momentum P to multiply d^Dx to make the integral dimensionless, so the wavefunction in coordinate space can't possibly be dimensionless, while the wavefunction in momentum space can.
edit: I just realized that if you include the delta function squared as in (11.12), it comes out to be dimensionless, cancelling the dimensions 8 said earlier. After careful consideration, it seems the probability, as defined in (11.11), is truly dimensionless, for any number of spacetime dimensions - you just have to take into account the mass change of the delta function when changing dimensions, both in the normalization of the states, and in the overall momentum conserving delta function.