I don't have any definitive sources specifically on Alexander the Great, but I can tell you that a lot of Europeans focused on regions like India for a few reasons:

Access to otherwise unattainable/expensive resources

If you wanted spices, silk, precious metals and various other valuable commodities, you were relegated to buying them at high markups from other European traders. The only other option was to make your way over to the East yourself and get direct access.

Eastern regions were seen as easier to dominate

If you're fighting other Europeans, they are going to have similar war tactics, tools, resources and strategies. It's much harder to win agains an opponent who knows how to counter your approach. Many Eastern rulers would not have been familiar with European battle tactics, meaning it would presumably be easier to win a war against them.

Reasons for expansion

With your main question about why Alexander the Great (and other European rulers) didn't try to gain control of more of Europe, I would ask this counter question - What reason would he have for gaining more control of Europe? In the East you get commodities, spices and easily attainable resources. What would you gain from fighting tricky battles within Europe?

Source: India Before Europe is a great one to read about why India was such a popular site for invasion/domination by foreign powers.