Due to the rotation of the Earth it's advantageous to have your rocket launch facility as close to the Equator as possible. For the US that means the southern end of Florida, and while there are plenty of big empty deserts in the US, the southern end of Florida is not one of them. OTOH there's convenient big empty desert at the southern end of Kazakhstan (which was the southern end of the USSR when they were picking a launch site).

(FWIW Baikonur is still quite a way north of the Equator. AIUI a joint ESA-Russia Soyuz launch pad is now being built at the ESA launch site in French Guiana, which should save them a chunk of fuel).

Why is a big empty desert better than a big empty ocean?

You can launch from the middle of the big empty desert, while you must launch from the edge of the ocean.

In other words, launches from Canaveral need systems to ensure that a wild rocket doesn't land in downtown Orlando, while presumably launches from Baikonur don't have this problem on the same level.

You can launch from the ocean, though with more limitations: http://en.wikipedia.org/wiki/Sea_Launch

It's a lot easier to recover pieces from a desert than from an ocean.