Because all my characters have been around since BC and I'm in too deep to start again as Horde.
I've lost interest in the Alliance over the years though. Our leaders don't do anything particularly interesting unless they're neutral (Tirion, Malfurion, Alleria, Turalyon, Velen, etc), and our entire story in Cataclysm and Pandaria (which were the more faction-based expansions) weren't really about the Alliance and Alliance issues. They revolved around far more interesting storylines concerning the Horde's advances and their leadership. Genn's characterisation and emergence as a major player in Legion has been a nice change of pace, but overall I care much more about the Horde and their struggles. Sylvanas is a much more complex and interesting character than Anduin.
I think it comes down to the Alliance having zero agency. Our story is basically a reaction to the Horde's story.