) Well, she did have a long and presumably interesting childhood, per the Journal of the Two Sisters tie-in book. And there’s presumably no better incentive to permanently move to the world beyond than a thousand years of envy and anger.
Besides that, they both are built for eternity, not the never ending cycle of birth and death. Their hearts yearn for friendships that last centuries, not decades. Only in the Elysian Fields of Caelum can they be satisfied.
And it’s not like it was a good time for Celestia either. She spent a thousand years in regret, running a country without her sister, foiling her Nightmare plots at least thrice.