(a) requires a substantial financial outlay, (b) requires a job offer AND visa sponsorship from a hiring company and (c) is probably easiest but requires a family member to be already present in the country with a solid visa status.
It's not that easy. The vast majority will never have a viable shot at leaving. Basically you either need a lot of money or a professional degree (doctor, lawyer, programmer etc).
Someone wants to come to <Developed Country>, to do useful and productive work? We can't have that! We're all out of work that needs doing!
I mean, sure, our bridges are occasionally falling over, my street is filled with potholes, daycares are limited, and cost parents thousands of dollars, classrooms are overcrowded, for some reason 30 minutes of a nurse's time gets billed at $5000, and the line at the DMV is 40 minutes long, but I assure you - there are no jobs here!
The fact that this is viewed as a bad thing is testament to how utterly insane our economic system is.
Why would first world workers want to compete with third world workers?
Also, lowering the price of labor in a particular industry makes other people in it be paid less, or fired. As a result, they buy less, etc, slowing down the entire economy, influencing maybe your own wages.
Quite a lot of countries don't.
Do you? Why?
I'm not saying you shouldn't, but I am saying this is an assumption worth questioning.
Also, consider that adult immigrants save your social services one of the biggest costs borne by our society - a K-12 education. Someone with a high school diploma arriving to the US is a flat-out gift of ~$140,000 worth of education.
Absolutely not true. The UK, for instance, explicitly states on its work visas "No recourse to public funds", although they are happy for immigrants to pay the same taxes as locals...