Maybe because the majority of Europe is closer to Canada, latitude-wise, than to Phoenix, AZ, and there is simply less demand? Less wealth is certainly a factor, too, especially considering how the warmest nations in Europe all tend to be weaker economically.

> Why does US have ~4 heat related deaths per million while Europe has ~235 per million?

Maybe its just the higher life expectancy increasing susceptibility? Everyone has to die of something at some point.