There are two issues:
- To build a centrifuge in space of sufficient size, you need to solve the problem of delivering a large amount of materials to orbit, because it has to be hundreds of meters in diameter at least.
- Such a centrifuge will create a gyroscopic effect, and the station will quickly become very difficult to control.
You can try it with small capsules and tethers, but it's still a pain.
Couldn't you have two centrifuges next to each other spinning in opposite directions, cancelling most of the effect out? I believe some helicopters work like that, with two sets of rotors on longer troop transport helis. A few even have two sets on top of each other. And many planes have the props on opposite wings rotate in opposite directions.