Because we don't know where they are.
I'll tell you something that few people understand: the galaxy is fucking enormous.
No, not big, what's coming is six towns and a mountain behind it—"fucking enormous." The true scale is "understood" by few people who think it's some kind of neighborhood and that the stars are right next door.
Let's assume, just for the sake of argument, that there is one extraterrestrial civilization for every 100,000 stars, and to avoid complicating things, only in this galaxy.
The exact number of stars in our galaxy is still unclear; estimates range from 100 billion to 400 billion stars. Let's go somewhere in between and say 250 billion stars, just to pick a figure.
This would give us, again just speculating, 2,500,000 civilizations. That's a lot, man... I'm sure not that many because the stars in the central regions don't look very friendly, but hey, it's just numbers, it doesn't matter.
Now comes the interesting part: even with so many stars, it's still only one star for every 100,000, and stars are incredibly far away. Galaxies in photographs appear to be "full of stars."
Yes, there are many stars, but the space between them is immense. Just think, light takes more than four years to reach the nearest star to the sun. Four years, and that's light!
Now take those 2,500,000 civilizations (an arbitrary number chosen at random, remember. There could be more or much less) and eliminate those with a primitive technological level, those we cannot understand, and then see how you communicate with them.
By radio?… good idea, but how do you know they'll use that method and not something completely different? It could be that highly advanced civilizations use another method, like gravitational waves, and we can't detect them at that level yet. They might use forms of communication unimaginable to us, they might be sending signals and getting confused by other things, many of them might simply not be interested in talking to anyone, and again: the galaxy is enormous.
We won't even talk about communicating with other galaxies; it would take billions of years to say "hello, how are you" and receive a response.
And visiting them with spaceships?
Okay… do ships that can exceed the speed of light exist? As far as we know, that's purely theoretical, and even then, do you know how many stars there are to look at?
Imagine a fleet of 1,000 ships visiting one star per year. You would need roughly 250 million years to visit all the stars in the galaxy.
Even in "Star Trek" there aren't fleets of a thousand ships, so do the math and you'll see that it's not nearly as simple as that.