Because it is against the law and is unfair to all the REAL immigrants that go through the process of becoming citizens. They can come in, but the have to do so through the proper channels. They just want to skip all the rules and do what they want instead, but no country based on law and order works that way. And the reason for the due process? Then one can properly vet those coming in. Just ask the citizens in European countries how they like having all of those undocumented foreign nationals running around bombing them, running them over with vehicles, and throwing acid on their faces.