What makes oceanic desalination so expensive?
Reason is salt dissolve very easily with water, forming very strong bond. Not only salt there are also other minerals. To break this bond we need technology as well as energy and both of them are very expensive(today). 

There are two methods by which we can break this bond:


Thermal distillation:
Thermal distillation involves heat: Boiling water turns it into vapor—leaving the salt behind—that is collected and condensed back into water by cooling it down
Membrane distillation: The most common type of membrane separation is called reverse osmosis. Seawater is forced through a semipermeable membrane that separates salt from water. Because the technology typically requires less energy than thermal distillation, most new plants, now use reverse osmosis.


Today about 10 to 13 billion gallon  water are desalinated worldwide per day. That's only about 0.2% of global water consumption.

Membrane distillation is bit more cheaper than thermal distillation. Even though  large amounts of energy are needed to generate the high pressure that forces the water through the filter. Current methods require about 14 kilowatt-hours of energy to produce 1,000 gallons of desalinated seawater.

So we can conclude that cost of distillation is high because we need notable large amount of electricity to heat water in thermal plant and generate high pressure. Also other technology(like say burner, pumps, etc) are also expensive.   

Source: ScientificAmerica and LiveScience



Also note we are trying to decrease the cost of distillation and day by day number of seawater distillation  are increasing.