Which is their Constitutionally-protected right.
As the Constitution dictates.
This illustrates a fundamental misunderstanding the Constitution, generally, and how it speaks to the current issues. The feds have exclusive jurisdiction over implementation of immigration law, and its enforcement. States CAN help with enforcement, if they want, but they aren't required to do so (thanks to the Constitution), and there should be no expectation that they will, even if some states have ... or even if all states have, in the past.
So, yes, the Federal government MUST "do it themselves" unless they get help, which they aren't entitled to. It's called "doing your job."
Regardless of whether State governments (or other local authorities) help the Feds do their job for them, or if they don't, states and local authorities still have rights and protections (as do their residents). Just because the Feds are "doing it themselves" doesn't mean they can do anything they want, and no one has a right to complain. So the "cooperation" States and local authorities, and the states' residents want, is to not violate the Constitution, and other valid laws and regulations adopted thereunder, while the Feds do the job they're required to do. And States and local authorities can insist on the Feds not violating these rights, and still refuse to cooperate with the Feds in doing the Feds' job for them.
If you're still not able to comprehend this, let me give you an analogy. You're the head of bathroom maintenance. The corporate charter states the head of bathroom maintenance is solely in charge of toilet cleaning. But there are others you hire for other tasks ... sink cleaners, urinal cleaners, etc. Now, sometimes the sink and urinal cleaners finish up early and help you clean the toilets, because you're lazy. But they don't NEED to do so. It shouldn't be an expectation they do it for you. Because it's your job.
So, when the urinal and sink cleaners refuse to help you, you throw a fit and say "fine, I'll do it myself," and in your tizzy, you're tossing turds and toilet water all over the place, getting them on the urinals and in the sink. The sink and urinal cleaners have a right to not have you throw turds at them, or at/in what they just cleaned ... they're not "asking for your cooperation" ... and you're wrong to say "oh, now you want my cooperation when you won't cooperate with me on the underlying issue?"
Do you understand?