Answer:
Because the explorers were ill-prepared.
They did not know the territory, were often very few (mostly groups of less than 100, or even less than 50 people), had a more numerous enemy in the native tribes, and were subject to tropical diseases.
Besides, these expeditions were doomed to fail simply because such cities of gold did not exist, they were a legend that arose from the misunderstanding and lack of knowledge of Native American society.