Because, like many words in many languages, envy in English has its own specification for what kinds of grammatical objects it will take. This kind of property is unpredictable, and has to be learnt along with other dictionary properties of the word.
It happens that know can take a noun phrase or a that clause:
I know [the names of the countries of South America]
I know [that South America is a continent],
Think normally takes a that clause, and can also take a quoted phrase. It can take a noun phrase, but only where the phrase refers to a thought, not to the thing thought:
I think [that this makes sense]
I think "This makes sense".
I think [a worrying thought]
- I think the sense of this.
Envy takes a noun phrase, but not (for most speakers) a that clause.
On a separate issue, the object of envy is normally the person envied, not the cause of envy. So I would cast your sentence as:
They envy celebrated people for leading far more interesting and colorful lives than their ordinary lives.