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This is quite a broad question, and would be perhaps clearer if "all the things" could be better defined.

Governments cannot do "all the things" they want, such as (for instance) creating a profligate welfare program which pays every living expense of all citizens.

Why?

There is a point where the limited resource of human work, effort and innovation must be solicited to perform tasks. Unless there is a negotiable item of value offered, these tasks cannot be performed for government or anyone else. If government dictates tasks be done on its behalf without payment, a system of slavery or indentured servitude results. If governments create so much "money" so as to make it have little value, little work (if any) could be traded for such a valueless instrument.

The entire economic structure requires negotiable items of worth based upon monetary systems holding universally understood value. Governments must "pay" for the services they wish for internal operation, and therein lies the inherent limitation which prevents government from doing "all the things they want."

Additional limitations would include those resources, in concert with human ingenuity and labor, required to support "all the things you want." These resources, such as food or fuel, require a combination of physical material and human labor to achieve. Complex actions, such as inventing, mining, transporting and safeguarding create a need for others to suspend "all the things they want" in order to provide these goods and services to you. Incentive must be provided and the cycle of trade must continue unabated. While one achieves "all the things they want", another must be complicit in the provision of same.

The nature of your question implied all people and all governments could do "all the things they want" simultaneously and in perpetuity. Since each "wanted" thing or action impacts others, the ripple effect is so pervasive it would be functionally impossible for all people and governments to achieve "all the things they want" concurrently in continuum.

As for inability of "people" to do "all the things they want" in a democratic society, there is one primary limiting factor: Government.

Government exists partly to govern trade, but more to establish a minimum standard of interaction between any two people or any two entities. In a democratic or republic-style government, citizens are vested with the power to determine what is acceptable behavior or standard.

Other people, as well, may stop you from doing "all the things you want" by taking personal or group action against you outside the regimented security of government control. When one takes "the law into his own hands", often someone else did "all the things they want" with the result of negative provocation.

"All the things they want" is also a term which would be wonderful if it were universal. If your neighbor wishes to play loud Rock Music at 2 AM, it would qualify in the category of "all the things they want." However, if you wish to sleep at 2 AM, that also qualifies in the same category.

Therefore, if your neighbor is playing loud rock music you may wish to launch bottle rockets through their windows until they stop. Again, this would qualify as "all the things" on your behalf. Yet, the minimum standard of interaction set by government would most certainly prevent you from damaging your neighbor's property under threat of civil and/or criminal action. In many jurisdictions, the original offensive activity of playing loud rock music is also prohibited.

Society is a system of checks, balances, ebbs and flows. Not everyone "wants" the same things, so should one group have unbridled freedom and resources there will be many others whose life, liberty and pursuit of happiness would be punished.

Actions have reactions, no man is an island and bodies of water tend to find their own level. These common pearls of wisdom speak volumes in summary answer to your question.

The ability of all entities to do "all the things they want" would naturally result in an untenable state of anarchy. In such circumstance, no one can do much of anything they want.

It is the responsible exercise of freedom, self-motivated work to obtain resources and consideration for fellow man which enables one to achieve "all the things they want" within the boundaries of an honorable, free and stable society.

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Q: Why is it impossible for people and governments to do all the things they want?
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