Plus people move from state to state. State-level creates too many complications.
And what provision of the Constitution gives the Federal Government the right to control your retirement???????????????????????
If a state has a retirement system then that might encourage people not to leave a State. It would set up competition between the states for workers.
If I leave a job, then that company is no longer responsible for maintaining my retirement account. If the state sets up a retirement system, then when you leave the state, you are no longer their problem.
And in the two cases that Perry loves to point to, it was done at the county level and only for county employees. Expanding to statewide programs would be a nightmare.