Hmm... in my country it'd only be affordable not cheap (The Netherlands). We're pretty populated over here and the government has every square meter planned out. We have a name for it in Dutch "bestemmingsplan" (literally: destination plan or purpose plan).
Now, compared to cheap places in the US, the house price is still somewhat high. But cheap areas in the US, you often have to live in a detached house, as apartments are often very uncommon, or even non-existent, whereas in the Netherlands multi-family housing is much more common(1). And in the US, cheap places you almost always need to own a car, which is inherently expensive, whereas in the Netherlands you can get by with just walking and biking. Plus, the safety net means that even if you're poor as shit, you're taken care of for things like healthcare, to a greater extent than the US.
The reason you don't is that cheap places in rich countries are usually cheap for a reason.