Why don't airplanes taking off to the southwest (Runway 21) turn immediately to the east?

Planes generally follow a traffic pattern approved by the FAA and established through the Noise Compatibility Planning process. If departing jets turned to the east when departing Runway 21, they would quickly conflict with Sky Harbor airspace. Additionally, the 1997 F.A.R. Part 150 Airport Noise Compatibility Study determined this procedure would result in an increase in population east of the airport subject to aircraft noise without reducing noise in other areas to the west.