They’re laborious to make, and they take more than one head of hair to make, because the density needs to be higher than a regular head of hair to hide the cap of the wig.
Also, it’s difficult to grow hair long enough to cut enough for a long wig while still having any hair left on your own head. Most hair wears at the tips about as fast as it can grow once it reaches a certain length. So you either need someone who grows unusually long hair, or who is willing to cut their hair extremely short. So, the cost of the hair can get high, particularly if you want it in more European textures and colors.
Shorter wigs are obviously cheaper, but they’re still not exactly cheap.