They do. The overwhelming majority of the budget is social programs, and interest on debt for social programs... and there is simply no way to control the costs of free Healthcare, every country that has it is almost insolvent because of it, and the Healthcare is substandard in the end anyway. Canada can't even manage an mri in under 6months, and the only way to get effective treatment is at a private clinic
Actually, the healthcare in most of those countries has far better outcomes than the US. They also spend far less of their GDP doing so.
While I'm pro free market, I see that in this particular case - health care - it doesn't work. It's better to pay 10% of GDP in taxes for better healthcare than 15% of GDP through a mix of taxes (elderly), insurance, and out of pocket for worse outcomes.
Reasons for this might include that the buyers aren't rational (doh), that there are monopolies (patents, location, urgency), and that the costs are such that the large majority of the population needs insurance of some kind. The specifics of the market also means there are a lot of very bad incentives for the insurance companies to use pre-existing conditions or trying to deny coverage after the fact, and very strange and weird price/discount structures.