Because knowingly or unknowingly they all are running in search of Supreme happiness. But they have no idea about how to get it or where to get it. Due to strong Maya they are going to misidentify themselves as material body (together with material mind). So naturally they are busy with material enjoyment, they can not think even anything beyond that. According to their karma phal they are going to take material bodies. In course of traveling fourteen worlds if somhow somebody is lucky then and only then one can get the chance to take kripa from Guru-Vaishnava to get Bhakti lata bija.
brahmāṇḍa bhramite kona bhāgyavān jīva
guru-kṛṣṇa-prasāde pāya bhakti-latā-bīja
Chaitanya Caritamritam TEXT 151
“According to their karma, all living entities are wandering throughout the entire universe. Some of them are being elevated to the upper planetary systems, and some are going down into the lower planetary systems. Out of many millions of wandering living entities, one who is very fortunate gets an opportunity to associate with a bona fide spiritual master by the grace of Kṛṣṇa. By the mercy of both Kṛṣṇa and the spiritual master, such a person receives the seed of the creeper of devotional service.
Shri Shyam Das Baba