There are many reasons.
Space exploration or rather rocketry began as a past time, people spending money for enjoyment but this can not fund anything other than the occasional sub orbital flight. Space exploration only got it's first major injection of public funds through the military, as a weapon. Even the exploration of the Moon was to demonstrate how effective our rockets and hence missile technology was. The hope is that public funds can bring down the costs of space exploration enough for private businesses to take over but except for space tourism, it still isn't inexpensive enough. We're hoping for space mining and space power to become profitable but so far all analyses shows they are far short of profitable.
Then there is the lack of direction. Some people feel we should explore the Moon as a testbed for other missions and as a resource base of materials and resources. Some say that we should visit Mars to inspire a new generation. Some say we should only use robotic probes. Some say we should only use space telescopes like Keppler and WISE which have return far more exciting discoveries than any other ventures. Some say we should focus on space mining. Some say we should have a community in space. Some say we should have a community on Mars. The Apollo program only occurred because there was a single mandate which was ironed in beyond the presidency simply because of Kennedy's death. Today, NASA tries to appeal to all valid concepts and we do have space telescopes, gravity probes, searches for asteroids and rovers. NASA's budget is 17 billion US a year, a Nautilus-X is estimated at 3.7 billion US so why aren't we doing it... It's because we are doing everything else.
Then there is the difficulty of too many approval paths. NASA's projects are funded by congress, Roskosmos by the Russian government and of course ESA mostly by the German government. Not only are there differences of opinion on the science and engineering side but each of the decision makers have very different objectives. Congress just wants to be re-elected, indeed all this policy makers want to remain in power so progress of any sort in space exploration is irrelevant to them or their decisions.
Back in the 1990's before Stephen Jobs return to Apple, Apple had a bewildering line of products and many were really good ideas such as the Newton, and Hypercards but nobody could make sense of Apple's offerings so to the public, it was going no where. Then Jobs returned and slashed everything but the iMac and with that one product, established a brand and the public saw progress. But also because of that we lost many exciting concepts and products. The same would be true of NASA, if somebody seen as a visionary stepped in and slashed almost everything except say interplanetary flight then we would have Nautilus-X, the Deep Space Habitatat and a manned visit to Mars but at the cost of all the other venues they are working on. Perhaps it would be necessary to take such a step and establish a presence in space before continuing all the other explorations but there would be a lost of technology, skills and experience if we do. This is not an easy decision to make which is why it has only been made half heartedly such as the Bush administrations declaration of a Moon base and Mars mission.
Scaling it up to combine everyone's efforts simply makes it harder to trim down the objectives. It would be nice if we lived in Barney's world where sharing is enough but the fact is there would just be too many cooks spoiling the stew.
Ultimately, it would take space development to become profitable and space exploration will exist on the borders of such development.