The Romans never managed to really capture Parthia. They weakened it enough to allow the Sassanid coup, but never extended effective control into Mesopotamia.
It should also be remembered that the east was were the money was. When Pompey campaigned there, IIRC he doubled Rome's annual income. The east also had the most people and certainly the most big cities. Antioch, Alexandria, Seleucia (later Ctesiphon) were the ancient megacities along with later Rome.
When Constantine moved the Roman capital to Byzantion, he did it for a very good reason.
Rome was an empire that had to pay for its troops, certainly after Marius. If there are no Asian provinces to pay the taxes for its army, what then?