Because a firearm is a registered and controlled item. Buying one illegally can be done so for many reasons, including no traceability if the purchaser knows he's gonna use it to murder someone, felons who are not allowed to own one legally, and people who wish to own more firearms than their local laws allow. A bag of [legal] pot does not fit ANY of those situations, at all. As for paralleling it to illegal immigrants, seriously, wtf man? Do I really need to go through all the reasons people chose to enter this country illegally, that also would not have anything to do with legalized weed? I really feel you need to think a little more about the topic, and the parallels you are trying to draw to it.
How about this one, people can kill legally (war time), so why does anyone kill illegally? Yet another reason people would still chose to buy illegal pot! (whatever illegal pot would be, considering we are talking about if it was LEGAL)