Why isn't there a font that contains all Unicode glyphs?
"Why would you even want that?" questions aside, from a programming perspective there's a very simple reason: the OpenType spec only affords an addressable glyph index space of one USHORT, so one font can only support 16 bits worth of glyphs identifiers, or 65536 glyphs max.
The current version of Unicode, v8 as of this answer, contains 120737 assigned code points, or almost twice as many as fit in a modern font. In fact, Unicode hasn't been able to fit in a modern OpenType font since 2001, with the release of Unicode 3.1, which upped the number of code points from 49259 to 94205.
"So what about font collections?" I hear you ask. Why not use multiple fonts and support all unicode that way? Well now, you've just described Adobe's Source Sans Pro, and Google's Noto (which are the same font).
As for the "how hard can it be": a uniform style for all glyphs in Unicode, across 129 established written scripts on this planet, each with their own typesetting rules? Incredibly hard. You may think fonts are just files with pictures for letters, and someone types a letter, that picture shows up: that is not how fonts work, and isn't how fonts have worked since the late 1980's.
Modern fonts are the typographic equivalent of a game ROM: sure, it's not much use without the hardware or software to run that ROM on, but all the things that actually matter are in the ROM. Similarly, modern fonts contain all the information for typesetting. Not just pictures, they contain the metadata, the metrics, the positioning and substitutions rules for arbitrary sequences, with separate rule sets for each written script that OpenType supports, possible bitmap fallbacks for small-point rendering, hinting instructions on how to properly rasterize vector graphics that are inherently not aligned to any particular pixel grid, and more. A modern font is a ridiculously complex application that a font engine consults to figure out how to typeset sequences of code points, and making a (set of) Unicode-encompassing font(s) is a vast team effort.
So: "Why isn't there a font that contains all Unicode glyphs?", because that's been technically impossible since 2001. We can, and do, make font families that cover all of Unicode, but with 129 different scripts all with their own typesetting rules, it's a large team effort.
And as for this:
Such a font would be a great help to humanity and I can't see a good technical reason why it doesn't exist or at least an open-source effort to create it, so I presume an invisible-to-me reason why it can't be done.
Just because you didn't know about them, doesn't mean they don't exist, with millions of people who are familiar with them. They exist =)
they're even open source, go out and thank the people who made them!
There is GNU Unifont. It aims to contain all Unicode, except Apple Emoji.