It's cultural- European culture puts much more emphasis on safety and security and collective good vs individual freedom and reward. Plus it has sclerotic bureaucracies, and old nation-states that refuse to relinquish their power in favour of a collective entity- which results in a lot of uncoordinated or even adversarial actions. The collective entity finally might be even impossible given the linguistics and cultural differences between the various countries and the reciprocal, well entrenched distrust. All not necessarily in this order.

One per theory of mine is that immigrants actually might help breaking up this course of things: as people with no built up wealth and much less to lose, they might be willing to work harder and risk more; and they might be more indifferent towards the national stereotypes that are still a source of mistrust between europeans.

That culture varies a lot between countries, but they share a direction of travel.

> a collective entity

IMO is likely to create more bureaucracy rather than less. I am convinced it is impossible without a common identity and culture.

> immigrants actually might help breaking up this course of things: as people with no built up wealth and much less to lose, they might be willing to work harder and risk more

Possibly, but only the first generation. Not even them in countries (the UK does this, I am sure other countries do too) that strongly favour immigrants with money or who are highly skilled.

On the other hand, I think one of the advantages the US has over Europe is its ability to attract high skilled immigrants.