That’s because ethanol likes to form an azeotrope with water! When you’re distilling ethanol, there’s a point at about the 95% mark where the combination of hydrogen bonding between the OH groups in the water and ethanol as well as the vapour pressure of the solution make it so that the boiling ethanol will pull the water with it, making it basically impossible to distill 100% ethanol using regular non-chemical means. Because of the OH group wanting to interact with water, ethanol is super hygroscopic, meaning you are correct that if concentrated enough it will pull moisture from the air.

Pure ethanol absolutely exists though, and it’s a really useful solvent in a lot of labs. However, because of the reasons stated above, it’s generally kept in a sealed glass bottle over what’s known as molecular sieves. They’re these little beads of metal-silicates that basically form a microscopic mesh that can trap and “sieve” the water from the ethanol since the ethanol molecule is too big to get through.