Sometimes it's outside of the artists' contol -- they can't fit in the city due to venue constraints, or perhaps Phoenix is unfortunately less important a market than surrounding cities such as Las Vegas and Los Angeles. Maybe the heat scares artists away. Or maybe it's because our venue selection sucks (read this.)
There's no reason the fifth-largest city in the nation shouldn't be a top destination for musicians. What's your take on why the Valley isn't a concert date for some musicians?