If you're talking about interconnecting separate buildings at other than ground level, it can be done. In downtown Minneapolis most buildings are connected by s

If you're talking about interconnecting separate buildings at other than ground level, it can be done. In downtown Minneapolis most buildings are connected by second-level walkways called the Skyway in aggregate. This is done to accommodate foot traffic off the street, especially during the winter when the climate control is welcome. I suspect the reason it isn't universal is simply the cost.