Their storage facilities are many and substantial (easy to find on Google Earth). Given the right level of effort it wouldn't be too hard for one of them to fall into the wrong hands. There are certainly too many facilities for the UN to go in and guard and the process of moving them (even to consolidate them all in one location) would made them very vulnerable to attack, theft or damage (not knowing the condition of the munitions.
It may be (I would expect) that some agents are stored as separate components, especially given the short shelf life of Sarin, for example. While that might make transporting them somewhat safer, it could be a massive undertaking.
What are the alternatives? Take them to another country? What the hell would you do with them there? Empty then all out into the desert and hope it causes no damage? Burn it all?
It's a difficult undertaking and not without its risks.