I'm assuming you mean why can't you visit areas such as Whiterun and such right?
Each alliance is separated into 5 zones + 1 or 2 starter areas depending on which alliance it is. In general the 5 zones go through all of that alliance's territory so you get to experience each race's culture for that alliance. That said I think it's safe to assume that at some point entire provinces will become available to explore, since there are multiple new zones in the works. Have patience and explore what's already there.