Cause you need a gun to shoot people, and most countries do not have ready access to them, which makes the overall likelihood of shootings way lower.
That does not mean they do not happen (see: Italy a few weeks ago, Norway years ago), or that there are no other things that can happen due to mental illness, which is the fallacy often used to defend this point (“they’ll just use knives/petrol bombs/whatever”)
The overall point is an issue of philosophical underpinnings: European governments are based around the idea of the monopoly of (systematic) violence, the american one is not.
In Europe it’s the state and only the state that is allowed to dish out punishment. We often do not have anything even similar to castle doctrine, therefore weapons are often not legal or considered superfluous, although that varies wildly from country to country.
The US, due to its scarce infrastructure, large distances, and past of unsystematic and unpredictable settlement has grown into a completely different beast and, to be quite honest, I doubt it could adapt to the European model.
I know I wouldn’t want to have to be unarmed when living in an isolated house an hour away from any form of civilisation, and I wouldn’t expect anyone else to want to.