First off: They did (which is where all the various native tribes throughout North and South America came from).
Second: They didn't have access to our understanding of the world. There was no guarantee that the entire world wasn't just a big vast icy wasteland. Why risk moving around in that when you're likely to die without proper shelter?
Third: Moving is a huge fucking ordeal even today. How hard do you think it is to walk from Alaska to California with no modern technology? That's a journey that could take a lifetime, and with no guarantee of success or superior climate, that's a suicide mission. Sure, it eventually worked out well for the people who were crazy enough to try, but most people are pretty content to stay where they are as long as they aren't perpetually miserable (or there's no promise of anything better).