Because it's actually a pretty nice climate for a lot of the year and it doesn't get snow. And I'm not sure the hot Phoenix summers are really much worse (if any worse) than the humid southeast. When I lived in New Orleans my recollection was that a lot of short walk from AC to AC went on, especially during the day, as well.
And obviously people can adapt (although the native peoples tended to be at higher altitudes in the summer). There are also construction techniques that mitigate the heat to some degree--but you're not going to see those in use at the local big box store.
I was born and raised in Miami, in a house with no A/C. But the house was also built in the 1950s before A/C was commonplace.
You mention "the native peoples" (though I think you don't mean that as the indigenous people who lived there, but rather the more recent immigrants who have been established there for decades)? I know that I got used to the heat. And now when I visit, I find I have lost that ability.
I think one of the long-term failures in US construction has been 60+ years of eschewing vernacular architecture in favor of nation-wide standard building styles, and trusting in cheap power to work around any problems.
It's clearly possible to live in New Orleans w/o A/C, as that's what people did for centuries. The buildings can be designed to help with the heat, with high ceilings and ways to improve airflow. The culture can change to avoid being active in the middle of the hottest days (think 'siesta'). Even simple things help, like not walking fast, and wearing thin cotton clothing.
There's a different set of techniques for living in the desert SW. Thick adobe is the traditional method to delay heat transfer so the day's heat doesn't reach the inside until the cooler nights. Open the windows in the morning to cool the house, then shut them for the rest of the day.
However adobe specifically is more expensive than stick and frame construction methods, and requires more maintenance than slapping on a bunch of insulation and installing a big-ass A/C. There are other approaches than adobe - I'm have only rudimentary knowledge of the topic though, mostly a grab-bag from living in New Mexico for 7 or so years.
No I actually did mean indigenous peoples who often moved seasonally.
But you're right. Especially for a dry climate like the Southwest, there are a lot of construction/architectural techniques--especially for standalone dwellings--that can go a long way towards eliminating/reducing the need for A/C.
In general, climate control is also just more of an expectation these days for many people. I live in an old farmhouse in central Mass where you get maybe a couple of really hot spells over the course of a summer. And additional fairly hot/humid days.
I have a small window unit I sometimes put in but a lot of people almost can't believe I don't have whole house A/C which I would consider largely unnecessary.
Back in the 1980s there was an ad campaign for Miami - "Miami, see it like a native." That didn't refer to the Tequesta or the Calusa, nor even the more recent Seminole, but to long-time residents, primarily European-derived.
FWIW, what you wrote about going to higher altitudes in summer made me think more of (rich) people in NYC or Boston going to the Catskills and Berkshires for the summer. Related to that, my family spent several summer vacations in the Appalachians of North Carolina, or visiting family in Michigan. There's also the many snowbirds who winter in the Sun Belt (https://en.wikipedia.org/wiki/Snowbird_(person) ). There's also the farmers who bring their cattle to the summer pastures, though transhumance isn't common these days.
Native "peoples" almost always refers to the indigenous population. $STATE native, on the other hand, means that you were either born in that state or have lived there long enough that you consider yourself a "native." Language is funny.
And obviously people can adapt (although the native peoples tended to be at higher altitudes in the summer). There are also construction techniques that mitigate the heat to some degree--but you're not going to see those in use at the local big box store.