That's like asking why it's so hard to play hockey in Toronto and Montreal. You just named arguably the four most entrenched, established, and widespread fanbases in about all four of the sports. Those are the biggest of the biggest big markets in the United States. Other markets might have bigger passion for individual sports, like Dallas with football and L.A. with basketball, but I don't think you can find any towns that match the intensity that they have for all four sports.
Or, to put it simply.... high risk, high reward towns. If you win a championship there, you'll be immortalized forever. If you fail miserably there, you'll be lambasted for eternity.