Why are some palm trees not coconut trees?
Probably because they're not coconut palms. There are many
species of trees (over 1500) generically called "palm trees," but
only the coconut palm produces coconuts. The scientific name of the
coconut palm is Cocos nucifera, which is essentially the Latin
equivalent of "coconut bearer."
Even if they are actually coconut palms, they might not bear
coconuts in Arizona. Coconut palms require very warm temperatures
year-round, and considerable moisture; Arizona is a bit too far
north, and mostly too dry, for them to grow well.