Wait - so it's something you've never actually researched or considered (or thought about in any depth, if you think the only barrier is financial), but you're somehow
pretty sure countries hand out citizenships willy-nilly?
The only path to citizenship that's open to anybody is naturalization, and that requires you to already be a legal (often permanent) resident. While there are a few countries where you become eligible after two or three years - notably Canada - many require five, ten or even fifteen years. So before you even start the process, you have to deal with immigrating to your country of choice from your current country of citizenship/residence. And while that's not exactly the cheapest of undertakings[0], the real problem is that your application first of all generally needs to be sponsored by someone (typically strictly a relative or employer, so good luck if you don't have family in the country in question or don't work in a field that tends to hire across borders) and secondly is most often quite literally at the mercy of bored officials behind glass walls who have the power to deny you on a whim and owe you no explanation.
If by some convening of application strength and sheer luck you do get a residence permit, you then get to have your freedom of movement curtailed for however many years[1] during which simply being in the wrong place at the wrong time can set you back to square zero[2] and you still get slapped by the effect of sanctions like these, as you're still a citizen of whatever country you came from. Or you could also just make some exorbitant "investment" (often hundreds of thousands of dollars' worth) and effectively straight-up buy citizenship.
So yeah, the vast majority of people are rather powerless to do anything about their citizenship, especially when they don't have passports that let them travel anywhere on a whim (as tends to be the case for people in the sort of countries that one would want to escape citizenship of lol).
0: The cost of a passport, visa, plane ticket and rent deposit is easily $2000 plus depending on the part of the world (a friend of mine recently spent close to $4000 out of pocket relocating to Germany).
1: It's not enough to simply hold residency - there are often requirements for how much time you must have spent in the country in order to be eligible for naturalization, and leaving the country for an extended period of time will often itself jeopardise one's residency status.
2: In the US, for example, various misdemeanours - for instance drug possession - are grounds for deportation, after which you might as well forget about legally entering the country to talk of becoming a permanent resident again.