Because they have a great opportunity for a better life.
There is no better place in the world for immigrants to be able to become prosperous and in many cases rich than the United States of America, no country can even compare.
Well that's in the eye of the spectator (as long as you don't cite a survey and then it will probably still be in the eye of the observer because of the criteria the survey is based on)
A mexican will certainly not consider norway.
But you're right - if your aim is to be a millionair you should go the US.