WordPress uses absolute links almost everywhere in its database. It means that if you want to change domain, you have to change all these links in DB.
The easiest way is to export DB to SQL, find and replace all occurrences of old URL with the new one. But… This can break your DB – some things are stored as serialized objects in DB and such simple change of strings will break these objects and make them impossible to unserialize.
Another way is to use tool like Interconnects Search Replace DB