Because immigration is the federal government's responsibility, not the states. State and local governments aren't the people that are in charge of the immigration system and aren't responsible for enforcing it.

It's similar to how marijuana is illegal federally but it's legal at the state level. Your local or state police isn't going to arrest you for possessing or selling weed despite it being a federal crime, because it's not Massachusett's responsibility to enforce federal drug laws. That's the fed's job.