Why each device has a different color space

The devices throughout your workflow use different methods to produce color. These methods are often based on different color models and as a result, the devices operate in different color spaces. Your computer monitor produces color with light and operates in an RGB color space. Your desktop printer produces colors with inks or dyes that work in a CMYK color space. Some colors can be viewed on a computer monitor that cannot be printed on desktop printer or printing press. Likewise, some colors can be produced with inks that cannot be displayed on a monitor.
Even when two devices use the same color model to produce color, they will have different color spaces. For example, a CRT monitor and an LCD monitor both use RGB to produce colors. However, because both use different means to display color, the range of color (color space) of both monitors would be different. The CRT monitor would display a specific red value differently than the LCD monitor.
Even two monitors of the same brand and model frequently display the same color differently. It's nearly impossible for two devices to be completely identical, given the limitations of manufacturing and materials. Go to an electronics store and look at a wall of television monitors. Each monitor displays colors differently.