You can buy cars for 15 000$ or 150 000$, the latter offering all the latest tech and conveniences available.

Why doesn't a 5000$, 10 000$ console exist?

It's the entertainement industry - rich people will easily spend those amounts to get the absolute best experience for their passions - be it travelling 1st class, michelin star dining, aforementionned cars or tickets for prestigious events. Why isn't something similar offered to leach off rich gamers? Yes, you can spend indefinite amounts on high-end gaming pcs if you really want to, but that's a product clearly aimed more at the extremely dedicated, not the extremely rich, seeing as they lack the sophistications and convenience that would usually be associated with a luxury product.

They can just buy up thousands of retro games, and get some of the rarest games of all time. They don't really need to get luxury consoles.

Ummm... PC's. What you're describing is a decked out PC.

There'd be no market for a high-power console; Steam just proved that.

It's called buying a high end PC.
Better yet, you order your personal assistant to buy a high end gaming PC for you.
And pay a computer tech to maintain it in top working order non-stop so you don't have to worry about details, just play.
And pay the gold-farmers so your snob ass doesn't has to stoop to the level of gamer peasants, and can rule the roost in style.
Paying off posers to be your online posse and constantly compliment you and tell stupid in-jokes is real luxury gaming though.

You just described a high-end PC.

As to why such a console doesn't exist, it's not a problem to make the console better and more expensive. The problem is making the games take advantage of that hardware since game development can be extremely expensive. Considering how limited demand there is for such luxury products, those games would have to cost ridiculous amounts of money (in the case of AAA games, that's likely hundreds of thousands if not millions of dollars per copy) to be profitable.

Markets don't magically appear - you need to create them, first, with a strong advertisement campaign. But I'm pretty sure that it could be done.

As said, gaming pcs really cannot be described as luxury products. They are expensive, for their tech, but it's clear that the market they address do not care about things such as convenience/ease-of-use, or looks, which are a major part of how luxury products usually try to distinguish themselves.

High end PCs? VR?

Except gaming PCs are actually affordable unlike a $1,000,000 car.

High end gaming PCs are the answer you are looking for.

You know high end prebuilts with fancy cases are a thing, right?