Historians have come up with a lot of theories. There is no way to answer for sure though. General thought is they didn't even try because they had slaves they could force to do the hard labor, so there was not point. England developed steam engines in a world where slaves didn't exist. The Romans (their blacksmith god was disabled) also didn't value technology as a society like England did, and so they mostly didn't try to develop technology (except as it related to winning wars - anyone who wins wars was a big deal)

However it isn't clear if the Romans could have developed the metals needed even if they tried. There are a lot of parts to better metal alloys that they didn't know and trial and error is a slow process when you don't have why something didn't work.