This is a bit of a naive view of the tax view within the US. I can't and won't compare the tax advantages of primary residences within the US to other countries, and they are good you're right. However, loan interest can be deducted as an expense on loans on rental properties. [1] This is not the only expense that can be deducted. Almost all expenses including your time can be deducted if you set things up properly.

As an investment vehicle, there are very few investments which can be diversified as much as rental properties. In my experience there are also very few investments with the level of return of rental properties. [2]

[1] I am not a lawyer, a CPA, or a tax attorney. I do have all three of these people on retainer. If you would like to know how set this up and make sure to get the most advantageous tax positions and financial positions from your investments, please hire people like this to tell you what to do. Also, do not forget to interview a few attorneys and tax professionals before hiring.

[2] My experience: I currently own 12 properties of three different rental categories in 3 different states.

Renting a home you can usually get back your mortgage (I have two rentals and they do).

Also cheaper homes will appreciate more. For example a $1M home can only go up so much if that's already the top end of a market but two $500k homes can go up a lot more.