Human mythology about non-human creatures that are not animals, does not talk about them having regular cities in the human style.
Human mythology usually talks very little about how non-humans live, but even so it’s not that hard to find counter-examples. Amaravati for one. Also many ruined cities were once believed by the locals to have been built and inhabited by non-humans.
But we’re talking about fantasy elves, which have evolved to have their own set of tropes separate from their Norse mythology origin. And elven cities are one of those tropes, one that was there from Tolkien’s time and has been used almost universally ever since.
Not even all human societies build cities for that matter. Smaller dwellings are not cities. And nomads do not have those either.
Yes, and fantasy elves are almost never portrayed as similar to those human societies. Elves are not country bumpkins, that’s more of a halfling trope. They are not barbarians, that’s more of an orc trope. They are often the most “civilized” race in the setting, a model for what human society should be (in the eyes of the author). Which can mean being “closer to nature” in some sense, but in a civilized way that does not preclude building cities.