Hi,
You would be completely right if we would have a good measure of the redshift/distance/(any other measure of the distance to us) for all objects. For some galaxies we do, for some we don't and for objects in the Milky Way these are absent (and do not correspond to distance, but only to relative velocity if present). I think that is the main reason this does not exist. For the spectroscopic sample of SDSS, for example, we do have redshifts for many objects. There are movies available of this 3D map on youtube and elsewhere on the web.
Cheers, Harcel