Careful, the terminology is really getting fishy here.
I know the mistake is an honest one, but it doesn't make sense to even ask about the migratability of these keys.
Endorsement Key is not "non-migratable". The idea of migration doesn't even apply to this keys. It is special. Its private portion is completely inaccessible outside of the TPM. Discussing its candidacy for migration is patently incorrect, imho.
That said, your question becomes ambiguous.
If you are asking "why can't I transfer the EK to another TPM", that is enforced by the TPM spec from TCG, the design abstractly considers this key as the root identity of a discrete chip.
If you are asking "how does a TPM keep this special key safe", then the other answers addressed this; the implementation is vendor specific. A physical IC TPM will probably be designed to physically secure the key in some way, and a software TPM will obviously have (well tested I hope) code that doesn't provide a code-path to output the key.
EDIT: I have edited my answer above to only discuss the EK. Previously I included the SRK also in those terms. However in A Practical Guide to Trusted Computing, chapter 3, the authors do discuss the SRK in terms of being non-migrateble. They do not, however, discuss the EK in these terms, suggesting, as I propose, that this key is unique.