Why Do They....

The cities they propose to set movies in often try to tax the movie productions exorbitant fees. It's often cheaper to film elsewhere. NYC, LA, Miami and just about every major city in the US will overcharge the studios because those locations are popular settings for movies. That can significantly eat into a movie's meager budget. It's easier to find smaller cities or even countries like Czech Republic that has a city with similar terrain and buildings and will offer locations for a fraction of what major cities demand.