Because we Dunmer do not like our Aldmeri cousins, and they do not like us.
Even in the 2nd Era, we do not like each other.
During the Merethic Era (when we were the Chimer), the Aldmer and we had a falling out. They did not like our worship of certain Daedra, and we refused to quit worshiping them. They demanded that we worship their Eight, we refused. So, the Prophet received a message for us from Boethia, and we followed the Prophet East. We found Resdayn (what the lesser races call Morrowind), and settled there and built our mighty nation.
But we would also refuse to join their Aldmeri Dominion, which was another reason for the falling out, but both races realized that a war or other bloodshed would lead to mutually assured destruction, therefore we had even more incentive to leave our intolerant cousins behind.