Great question! There's a bit of nuance to understand here, but not all Confederate supporters were in the South.

There were significant numbers of people in the North who believed the country would be better off without a civil war to maintain the Union, or that a negotiated settlement to the conflict was preferable to continuing to fight.

There were lesser, though significant, numbers of people in the North who supported the Confederacy. Some of them did go to the South at the start of the war, but many stayed home. Most of those who stayed home kept their preferences quiet. Voicing their support for the Confederacy or its ideals amid neighbors whose sons and fathers were dying to fight that Confederacy was not a recipe for good neighborhood relations.

Let's take the example of New York City. In early 1861, NYC Mayor Fernando Wood proposed the city secede from the United States to become an independent city state. New York City was hostile to Abraham Lincoln throughout his political career, always voting for his Democratic opponent by a landslide. Furthermore, the city had close economic ties to the South ─ shipments of manufactured goods from the North went through either New York or Philadelphia (mostly) on their way South, and NYC profited from this trade and manufacturing.

NYC's secession crisis ended in April 1861 when the Confederacy fired the first shots of the American Civil War by bombarding Fort Sumter. Across the country, there were far more people who were willing to support the South in a political argument, but in a war, they remained loyal to the United States.

Just as happened in NYC happened in far-off California, where pro-slavery Democrats controlled the state legislature and judiciary. While California's constitution forbade slavery, proslavery legislators in 1852 passed a law permitting slaveholders who brought their slaves into the territory before 1849 to keep them. In 1860, Democrats proposed new amendments to California's Indian law that allowed whites to bind Indian children into apprenticeships that lasted until their mid-20s. Indian adults accused of vagrancy or taken as prisoners of war could be forcibly apprenticed for a decade. This was slavery by another name.

As in NYC, however, the news of Fort Sumter changed the situation from one of political battle to one of war. Those Californians who strongly supported slavery went off to fight for the Confederates rather than remain at home.

Now, let me talk about the exceptions. In the Midwest (or just the West, as it was known at the time), there were numbers of pro-Confederate residents in Indiana, Illinois and Ohio, places that otherwise were strongly in support of the North. With Lincoln cracking down harshly on public opposition (he suspended the writ of habeus corpus and imprisoned opponents), secret societies sprang up. Two of the most famous were the Knights of the Golden Circle and the Sons of Liberty.

In 1864, Oliver Morton, the governor of Indiana, was terrified of rebellion and used a network of spies to unravel the Sons of Liberty. He had good reason to be terrified. In a series of raids, the U.S. Army seized 400 revolvers and 135,000 rounds of ammunition. An additional 2,200 revolvers bound for Indiana were seized in New York City. Later that same year, the U.S. Army foiled a plot to attack prisoner of war camps in Chicago and set the city on fire with support from local insurgents and undercover Confederates.

The year before, the infamous Confederate cavalryman John Hunt Morgan had led a raid through Kentucky and Indiana, at times receiving support from local inhabitants. Morgan blew a chance at diplomacy, however, as he treated his helpers as little more than targets for theft and suckers to be squeezed of supplies. After the raid ebbed, counterintelligence agents flooded the area and rolled up many of the insurgent cells that had aided Morgan.

Short answer: The confederates were the states that seceded from the United States of America and led to the Civil War. The northern states had already made slavery illegal. Only southern states still had them.

Longer answer: You have to remember that the states were originally independent colonies. After the Revolutionary War, the states didn't want to give up too much of their independence to a new federal government so they became the United States of America. We were united, but not as solidly as most other governments.

The south, which still had slavery, didn't want to give up the right to own slaves. They didn't want the federal government telling them what to do, so they tried to leave. Lincoln's main goal was to keep the country unified.

Edit: By independent colonies, I mean from each other. They all belonged to England.

Just to toss in an alternative view here alongside some good answers - one reason was Malaria. Plasmodium Falciparum is considered by some to have killed half of all humans. That's probably taking it a bit far, but consider that during some colonial campaigns, the rate of malaria among british infantry was as high as 250%. This means each person would have had malaria at least twice.
So if a lot of people got (including many US presidents) and died from malaria in the US south where the disease flourished, many settlements of europeans were decimated by the disease. Some historians believe that this gave slavery an easy pass in the new world, you'd just need a few european masters, and the slaves could bring in the harvest. Once those europeans were "seasoned" - meaning they had survived malaria - they would probably last longer, but every time more europeans arrived, they would tend to die.
Epidemiologists believe African ancestry confers resistance to malaria just as it also increases the risks from sickle-cell anemia.
Some also believe it became commonplace for soldiers to smoke as they noted it reduced incidence of malaria - at the time it wasn't known that the mosquito vector was being avoided by such behavior - but when science figured all this out malaria eradication programs in the early 20th century killed off the responsible mosquitos. Incredible, if you think about it. I think this also had something to do with the construction of the panama canal, they used to put oil on top of mosquito breeding pools. The scale is enormous, I'd love to know more about how it was all accomplished - resource intensive enough that it hasn't occurred in Africa yet...