Because it is the rain shadow area of Aravalli mountain.

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As you see the world map most of the continents have a dessert on the Western side of them as of Australia or Asia the the desert are situated in the Western part of any continent and even the thar desert is situated in the Western part of India that is the state of Rajasthan in India. it is a geographical Factor of Winds on earth to blow in the same direction probably.
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