If you are running DotMM, naked greed1
If your players don't like that, DotMM may not be the adventure that best fits your table's preferences. (More at the end of this answer1).
But by design ...
Dealing with threats to kingdoms and regions
The sequel to Waterdeep: Dragon Heist is tier 2 adventures. W:DH is based in the same setting as Dungeon of the Mad Mage, but your group is in no way a required follow on to that adventure. DotMM is a kind of dungeon crawl, which has its own internal logic if Dungeon Crawl is the kind of game you all want to play.
But that's not the only way to play.
Since your PCs are level 5, I'll suggest that you begin the Storm King's Thunder campaign. STK will take you to the end of tier 2 - the reason to keep on going is because there is an existential threat to the game world woven into the campaign. Or, you can give the players a hook and move on to the adventures in Tomb of Annihilation, which is underwritten by an existential threat to the world itself, and the souls of all PCs and NPCs in it.
Your players can be plugged into the SKT adventure almost seamlessly. ToA might be best to start from level 1, but you can start at level 5 and then try to end the threat to the game world by level 10, 11, or 12 based on what your players run into.
Embrace Tiers of Play as a framework
If you look in the early part of the PHB/Basic rules, you'll find this.
In the first tier (levels 1–4), characters are effectively apprentice adventurers. {snip} The threats they face are relatively minor, usually posing a danger to local farmsteads or villages.
In the second tier (levels 5–10), characters come into their own. {snip} These characters have become important, facing dangers that threaten cities and kingdoms.
In the third tier (levels 11–16), characters have reached a level of
power that sets them high above the ordinary populace and makes them
special even among adventurers. {snip} These mighty adventurers often confront threats to whole regions and continents.
At the fourth tier (levels 17–20), characters achieve the pinnacle of their class features, becoming heroic (or villainous) archetypes in their own right. The fate of the world or even the fundamental order of the multiverse might hang in the balance during their adventures.
I have with one exception (lvl 20 campaign) played only one-shot adventures in Tier IV. Only that one campaign has lasted beyond level 15 at our tables.
Most play happens from levels 1-11.
One of the devs noted this in a tweet.
Level 10 - 11 XP: It's by design. Data shows campaigns stop at 10,
we're trying to speed up 10+ a bit so groups can reach 20 in a
campaign
Why? Because at that point, the motivation for adventuring changes. Many DMs and many tables (and most published adventures) wrap up because multiverse-changing adventures are trickier to write and run than lower level stuff (through level 11).
Experience basis for this answer
Once you get to 5th level, adventuring is great fun. More skills, more spells, and harder enemies. I think it is fair to say that the sweet spot for heroic adventuring is from levels 5 to 11. The challenges and threats are at a regional or kingdom level, and each level brings a new skill or spell or feature.
If DotMM isn't doing that for you, then don't play it as a campaign. Use it as a "now and again" resource for a dungeon adventure with a specific magic item in that area as the goal. That means that the DM has to do some work to make it fit, contextually, into the campaign. Figure out which magic item in an area of DMM would be a good fit for that group, and then plant rumors and story hooks to entice the players to go there.
Good luck with Tier 3 content.
In tier 3, sixth and seventh level spells (like disintegrate and resurrection) are really powerful stuff - 8th and 9th level spells even moreso. I have played in two campaigns that went beyond level 11.
One ended in DM burnout at about level 14/15. We were trying to
defeat the Giants in the Tales From the Yawning Portal "against the
giants" package.
The other is alive and well at level 14 and we are beginning to
change the world in the DM's homebrew world. His passion is world building. He keeps coming up with stuff that will challenge us or threaten our relatives, our businesses, our guilds, our nations, and the nature of the world. In one case there is a villain who is trying to replace the Grim Reaper, who just to happens to be the patron of our warlock. We may or may not succeed in thwarting those designs. (Update: Campaign ended at level 20 with PCs retiring, and a demigod forcibly retired / removed due to our party's actions).
Adventures at that level are tough to put together.
Your feeling that at level five adventurers are done does not square with my experience. My (me DM) Saltmarsh campaign is at level 7 heading to 8, and the shared world my brother and I DM has one group at level 9 and the other at level 6. Both are still going and there's much to do.
But at level 11?
A lot of published adventurers and settings reach their limit of interest somewhere in late tier 2.
- Some of it is DM fatigue.
- Some of it is how magic at higher levels, particularly the
synergistic effects of multiple kinds of magic being used at once,
makes the combat model of D&D 5e produce weird results.
- Some of it is boredom on the player' side.
1 The Fafhrd and the Grey Mouser answer: naked greed
Adventuring for the sake of adventuring: some players love to look for more loot, more XP, and more magic items and will play as long as they have those as possible rewards. DotMM is a good tool for that kind of game - adventuring for the sake of adventuring, the dungeon crawl taken to a logical extreme. But that's only one style of game.
As the Dungeon Masters Guide(DMG) p. 6 points out, there are a variety of ways for players to engage with the game. Take an inventory of your players. Talk to them. Find out what interests them.
Knowing what your players enjoy most about the D&D game helps you
create and run Adventures that they will enjoy and remember. Once you know which of the following activities each player in your group
enjoys the most, you can tailor Adventures that satisfy your players’ preferences as much as possible, thus keeping them engaged.
The DMG provides a few insights on how to engage players regardless of whether they like Acting, Exploring, Instigating, Fighting, Optimizing, Problem Solving, or Storytelling best.
If you all don't like how DotMM fits into your group's preferences, try a different adventure, or make one of your own.