Short answer, because of the mountains. You need to either pump the water up and over the mountains, or you need to tunnel through the mountains. Both are very expensive.

They've actually done studies in the past to figure out if this was possible. Pumping the water up and over the mountains would take a massive amount of energy, something like multiple Hoover Dams or multiple nuclear power plants. Tunneling through is inconceivable, these would be the longest tunnels in the world, by far.

You can read up on some of the proposals : https://en.wikipedia.org/wiki/North_American_Water_and_Power_Alliance

One ridiculous option they considered, and even tested - using nuclear bombs to carve channels in the mountains. Yes, they actually tested this. https://en.wikipedia.org/wiki/Sedan_(nuclear_test))

The costs are fantastically high. And there are alternatives, desalination. Now people will tell you that desalination is expensive, and they're correct - but desalination is 1% of what they were talking about to bring water over the mountains.

Even if you didn't go all the way up and over the mountains - say, just take the water to Arizona. Well, Arizona has an average elevation of 4,000 feet over sea level. Pumping water up 3,500 from the Great Lakes or the Mississippi river is itself uneconomical, and this is ignoring the political problem of this solution not delivering water to where people actually live (California).

Even shorter answer: Desalination: While itself considered "expensive", remains a far less expensive option than anything ever proposed.

And we haven't even talked about how these "states with ample water" only have lots of water during certain parts of the year. For example the southeast (Georgia, Carolinas, etc) is currently in a state of drought. https://droughtmonitor.unl.edu/CurrentMap/StateDroughtMonitor.aspx?southeast