It's also harder to blend in as a foreigner, and as an undocumented immigrant you'd have extra problems if you get into any trouble with the foreign authorities. In your home country you can blend in just by acting like everyone else.
Blending in isn't really an issue when you're on the other side of the world, hence the attraction. Documents can be easily obtained. And as long as you don't have to work or do business, you rarely have to deal with the authorities.
If the problem is money however, then that's a valid issue. Because all of the above cost significant amounts of money.
