Well for starters, an MS in the US may cost $40k-$60k/ year for a foreign student (as funding is very hard to get for an MS student), whereas during a PhD you'll get paid about $20-25k/year. Also, many universities do not offer MS programs in more academic fields, or if they do, they do not allocate them many spots in the graduate program compared to PhD students.

This fits my personal experience as well. All of the foreign students I know who did MS's in the US were very wealthy, whereas only some of the foreign students doing PhDs were.