> no one has found one

More than that: there is no way to build one (assuming the word "build" means some concrete construction), because it's consistent with ZF that the reals admit no well-ordering. Indeed, you can use forcing to construct a model of R in which there is an infinite but Dedekind-finite subset of R; and you can't well-order such a set, because a well-ordering would turn it into an ordinal, and any Dedekind-finite ordinal is finite. You must use some sort of choice principle to construct a well-ordering. (Of course, it's consistent that they can be well-ordered, too, as you say; or e.g. under the hypothesis V=L, where there's even a canonical well-ordering given by the lexicographic well-ordering L comes with.)