TLDR: Cost
Making mountain complexes is possible now, the Cheyenne mountain complex for example is perfectly livable underground.
Underwater facilities is more complicated due to the pressures but it has been done.
Digging through mountains, or building large underwater complexes though is prohibitively expensive.
Land in cities is at a premium, but there is tons of unused land all over the world that can easily be settled compared to making underwater or underground facilities.
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