MIDI is designed such that on a single signal chain you have one sender that is broadcasting events on up to 16 channels; the default MIDI port chain (IN/OUT/THRU) only allows you to have one controller. Basically you have your sequencer's OUT hooked to your controller's IN, your controller's OUT hooked up to your sequencer's IN, and your other receivers daisy-chained via IN to THRU. This is how MIDI was designed in the low-level protocol, and so without additional hardware it is all you can do.
In order to get around this limitation and have multiple controllers on a single sequencer, there are two basic options:
- Have multiple MIDI inputs, one for each controller's OUT
- Multiplex multiple controllers' OUT ports into a single IN via a rather uncommon device called a MIDI merger
I have never used a MIDI merger but I suspect that they are very timing-sensitive and unlikely to be particularly reliable. You are probably better off getting a multi-input interface. Personally, I use the TAPco LINK.midi 4x4, but there are quite a few on the market at varying price points.
Also, nowadays, many MIDI controllers also have a built in USB-MIDI bridge and can be connected directly to your computer by USB. That is basically a special case of solution number 1. It also tends to be fairly error-prone, as many USB-MIDI bridges aren't terribly reliable in light of the variable event timing that USB tends to introduce.
In summary, my recommendation (and solution) is to get a multiple-input MIDI interface.