The reason diodes are only available for specific wavelengths is because of the materials they are made out of. The laser diode needs to be made of two semiconductor materials, and those materials need to support stimulated emission. Most semiconductors don't emit light at all! The junction between the two semiconductors will have a voltage drop, and the amount of voltage drop across the junction depends entirely on the materials the junction is made of. The kicker is this: the voltage drop determines the wavelength.
As each electron passes through the junction, it loses energy. In fact, if the junction has a 1V drop across it, the electron loses 1 eV (electron-volt) of energy. The 1eV of energy lost from the electron becomes a photon with 1eV of energy, which corresponds to a wavelength of 1200nm, which is infrared. So to produce red at 660nm, you need materials that provide you a 1.9V drop. To produce violet at 405nm, you need materials that produce a 3.1V drop. The hard part is finding the right materials. It's literally a case of trial and error, and there are tens of thousands of possible material combinations and producing them one at a time is very expensive and time consuming.
You can see the same effect with LEDs, as well. LED materials are easier to make because they only need to produce spontaneous emission and not stimulated emission.
EDIT: And like HIMNL9 said, most of the time when you find a working combination, the amount of energy the electrons lose being converted into laser light is ridiculously low. Most of it ends up as heat, and cooling semiconductors is an art unto itself. And then you also need to consider beam quality as well.