Because those aren't targeted by the event handler. It doesn't automatically update the elements which are matching the query selector, it's the same as if you'd used addEventHandler - it runs once. (see below where they don't log a message to the console but the hardcoded ones do).

$(document).ready(function() {
  let nextItem = 4;
  $(".items div").click(function() {
    console.log("Event processed");
  });
  $(".btn").click(function() {
    $(".items").append(`<div id="${nextItem}"><img src="https://picsum.photos/id/${nextItem - 1}/200/100" alt=""></div>`);
    nextItem++;
  })
});

<script src="https://cdnjs.cloudflare.com/ajax/libs/jquery/3.3.1/jquery.min.js"></script>


<div class="container">
  <div class="items">
    <div id="1"><img src="https://picsum.photos/id/0/200/100" alt=""></div>
    <div id="2"><img src="https://picsum.photos/id/1/200/100" alt=""></div>
    <div id="3"><img src="https://picsum.photos/id/2/200/100" alt=""></div>
  </div>
  <button class="btn">+</button>
</div>

Instead what I would do is define that removal as a function and re-add it to the new element using the id:

$(document).ready(function() {
  let nextItem = 4;
  function removeItem() {
    $(this).remove();
  }
  $(".items div").click(removeItem);
  $(".btn").click(function() {
    $(".items").append(`<div id="${nextItem}"><img src="https://picsum.photos/id/${nextItem - 1}/200/100" alt=""></div>`);
    $(`#${nextItem}`).click(removeItem);
    nextItem++;
  })
});

<script src="https://cdnjs.cloudflare.com/ajax/libs/jquery/3.3.1/jquery.min.js"></script>


<div class="container">
  <div class="items">
    <div id="1"><img src="https://picsum.photos/id/0/200/100" alt=""></div>
    <div id="2"><img src="https://picsum.photos/id/1/200/100" alt=""></div>
    <div id="3"><img src="https://picsum.photos/id/2/200/100" alt=""></div>
  </div>
  <button class="btn">+</button>
</div>

You should use live events https://api.jquery.com/live/ since you're creating a new Dom element and not attaching the click event again

$(".items div").live('click',function() {
    $(this).remove();
  });

Try this

$(document).ready(function() {
  let nextItem = 4;
  $(".items div").click(function() {
    $(this).remove();
  });
  $(".btn").click(function() {
    $(".items").append(`<div id="${nextItem}"><img src="https://picsum.photos/id/${nextItem - 1}/200/100" alt=""></div>`);
    nextItem++;
  })
  $(`div#${nextItem}`).on('click',function(){
     $(this).remove();
  })
});