Because it uses matchmaking instead of dedicated servers, and I assume the matchmaking is restricted to other local players.
A few screenshots from the Panic Room/Drug deal scenario, after we finished the bank vault
After setting up the saws, setting the C4 charges and opening a hole from the roof
Calling the chopper in
Having to go back downstairs to secure the Magnet, what a mission.
Success!, but...we still need to get out safely (at this point we died trying to fight through to the sewers)