Money.
The cost of building places to live in a location like that will be a lot higher than in a more hospitable location and we have not run out of those.
Tunnes in mountains are very expensive to make compare to buildings on the surface. It is done for mines and military bunkers, so it it not impossible just prohibitively expensive.
The pressure in water increases with depth and we need to keep it out. Building large structures that can handle that will cost a lot of money, and so would maintaining them.
Deep down in earth will be impossible depending of what you mean by deep. The solid crust of earth is on average 15 to 20km thick. It will be 5 km under oceans and about 50km in continents. Below that you have the very hot mantle. You can compare it to lava to realize the problem of living there. Living in an active volcano would be easier because the pressure is lower.
The temperature in general increases with depth and soo you reach areas where is to hot for humans to survive a long time without a cooline system that would dup the heat on the surface.
Digging down costs more than just tunneling into a mountains.
If you want more living space build skyscrapers that cost a lot less the underground or underwater habitation.,
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