Because it has never been directly observed despite the expenditure of hundreds of millions of dollars, tens of thousands or hundreds of thousands of man-hours, decades of attempts, god knows how much energy, all while being (allegedly) the vast majority of matter in the universe, found everywhere.
Neutrinos have been directly observed. Even a black hole has been observed more directly than dark matter despite being, by definition, impossible to directly observed. You just need to produce one (1) directly-observed dark matter particle. Until then it's fairy dust, it's God, it's 'trust me bro.'