For one thing, the former averages around 110 minutes give or take and depending on the studio can have a production budget ranging from under $5 million to $200+ million.
The latter usually averages around 3-5 minutes in length and can cost anywhere from $20,000 (for an Indy label) to upwards of $1.2 million if you're a top pop singer.
Other than the money and length, "The Hunger Games: Catching Fire" director Francis Lawrence took to Quora to deliver a response suggesting all movies have one thing that most music videos lack: a story.
If you're not satisfied with the director's answer, Brand.gineer and film producer Carl Hartman went into more detailed explanation comparing a music video to a commercial for an artist and mentioning movies involve a lot of back and forth with a bonding company. You can read his full response here.