Wouldn't open borders be nice? :)
Unfortunately, political decisions by people in power also have control over this.
As a result, most countries set rules on who they 'allow' to move in. So, they want to make sure you're going to leave again if they let you in.
- many countries don't want people with a criminal conviction coming in
- many want only educated, younger people coming in
- some countries limit because they may have fantastic social welfare, and don't want people coming in to just get paid for free
- some have historical issues with other citizens of countries, eg post war
- and more
The EU has helped with this in Europe at least, allowing some more freedom of movement. Efforts are underway in Oceania and Latin America to reduce the barriers too.
If you're truly interested in moving, however, it'd be worth looking at Expats for advice on how to do so. Try and include all relevant info though, such as destination country, your citizenship and so on.
(disclaimer: I've tried to remain neutral on the reasons above, I'm not saying I disagree/agree with any of them)