A few reasons:
1) Numerous on-location shoots around the world: Dominican Republic, Uruguay, Paraguay, and of course Miami (which experienced a week-long filming delay due to hurricanes; this was a big factor in driving up the budget). But these weren't just point-and-shoot affairs, like filming some beach just as is; Mann painstakingly designed, staged or created each location exactly to his specifications. So you see a lot of stuff that looks naturalistic, documentary-like -- and it is, in a way -- but it's also very controlled and planned-out and deliberate. This takes time and money. Just check out the making-of featurettes on the DVD/Blu for a great example of what I mean, with Mann making sure the Cuban hotel shower-head or tile or whatever is just right.
2) Colin Farrell and Jamie Foxx, especially the latter, were regarded as huge stars at the time. Foxx was just fresh off his Oscar win for Ray, and demanded a big pay hike.
3) All those super-expensive jet planes, helicopters, cars, houses, go-fast boats, cargo ships -- plus all the state-of-the-art technology and weapons, very precisely chosen. Mann has a huge commitment to authenticity and so basically everything you see is real. This costs money. I'm sure that having the actors train extensively for their roles (firing weapons, going on real drug busts, dancing lessons, etc) costs money, too.
4) Again, Mann is a perfectionist. Enough said.
Ultimately this was a rather difficult shoot, from the hurricane troubles to the tension on set to Jamie Foxx bailing after some gunshots were fired on set and thus forcing Mann to write and shoot a whole different ending/shootout. Surely these things did not help keep costs low, and although Mann is generally an intelligent guy it seems that he is so passionate about his films when he's making them that he often allows them to go over-budget.
A movie like Heat cost less because, besides the 11 year-difference, it's shot in only one city and really only has two or three hugely difficult, costly sequences. It feels like an epic film, but look at it piece by piece and it's really rather intimate and "small" in a lot of parts. Miami Vice, on the other hand, is a summer action-film Blockbuster all the way (even as it totally subverts and explodes such conventions), much bigger in scale from a production standpoint, and Mann enjoyed playing around with the studio's big pocketbook accordingly. Good thing we got a masterpiece out of it in the process.
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