They kind of have too. Keep in mind the police shot one dead in the city of Chicago four years back. They traced that one back with DNA to the Black Hills of SD. Prior to that the IL officials kept saying the same thing: escaped pet.
I think that is also where the one killed in Greenwich came from too if I remember correctly. About 2 months back someone here in NH, right on the VT border captured footage of a cougar on a trail camera. Of course, the state of NH folks said that there was no proof it was taken in NH.
It seems that these young MALE cougars will wonder thousands of miles looking to establish their own territory. They are looking for the potential Mrs. Young Cougar. It is natures way.