Look at canon that includes TV series, it appears that there were plenty of Immortals running around throughout history.
Seemingly, in the movies, most seem to have gotten themselves killed at the end (e.g. enabling Connor to emerge with the Prize if you consider H1 or H2 canon).
Is there any canon explanation as to why tons of Immortals don't just hide away in BumScotch Township, Kansas (or some equally remote and unlikely area), live for a while, change identity, and keep moving around without risking their precious heads?
Immortal "bzzzz" radar seems to only work short distance; so finding an Immortal who doesn't try to stick out should be a fairly complicated task, and even the most driven "I'll kill them all" Immortal can't travel every square mile on Earth to ferret out hiding Immortals. Yeah, if you live in Toronto, New York or Paris you can be easily detected and beheaded. But not out in the boonies - which is what Dunkin seemingly did for a while, quite successfully.
I can see a certain percentage of them being power-driven and thus trying to pick fights.
But there should be plenty who just want to live forever, enjoy comfortable life, and in general not make waves or fight anyone. Why aren't they there hiding (as per canon), thus making The Gathering impossible?