There's a few reasons I can think of:

• It would be unfathomably expensive to make changes at a scale necessary to have any meaningful impact on the local climate
• The scale of changes required would be an ecological disaster, decimating the habitats of various flaura and fauna
• Climates are complex things, and even if the previous two points were mitigated or acceptable, you can bet there'd be some horrible side effects elsewhere (i.e. Making a change to bring more rainfall to one area might cause severe droughts in another)