Because there is precious R&D you need. ASML does not have the technology to do what TSMC does. There is no European company that has it. There are few non-TSMC companies that have it right now, and their tech is out of reach of anyone but them.
It costs TSMC $12b to build their fab. It will cost a United European government a lot more money and a lot of time to even develop the tech and by that time semiconductors will have moved on.
It costs TSMC $12b to build their fab. It will cost a United European government a lot more money and a lot of time to even develop the tech and by that time semiconductors will have moved on.