Because of the level of technological sophistication required to produce the nuclear material, at least, fissile, weapons-grade material. Perhaps it could be done via say, building a cyclotron, (something I've wanted to do myself, although for very different reasons than terrorism, lol) and irradiating depleted uranium (23U) with neutrons to produce 239Pu, which is fissile, although the logistics of plutonium based nuclear bombs are a lot more complex than uranium ones. For example one cannot use the 'gun' design, which more or less is a giant cannon barrel with a subcritical, but only just, fissile uranium target at one end and a uranium 'bullet' at the other, resulting, when fired, in a nuclear explosion.
With plutonium bombs, there are things to consider like the timing circuitry, to make sure all the detonators go off (the plutonium core, or 'pit' is surrounded by plastic explosives arranged in such a manner as to act as pressure lenses, which when detonated simultaneously cause the plutonium in the pit to be compressed, and to implode, reaching sufficient density to initiate the fission explosion (and potentially, if the pit is modified still further, with a secondary stage consisting of tritium and deuterium, a fusion explosion)
Plutonium is a nightmare to machine, too, which would give your average jihadis a lot of difficulties, not only extremely toxic, its brittle, dusts can spontaneously catch fire, also the metal has multiple different allotropic forms, present at different pressures and temperatures through which it undergoes a transition in the explosion of the initiating implosion, and these have different properties to the toom temperature/pressure phase, alpha-plutonium. IIRC the delta or delta prime allotropic phases are the ones that bomb-wielders wish to maintain, although it needs to be stabilized with the addition of various other metals to form an alloy, It also has a quite low melting point in its alpha allotropic phase (640 'C).
So all in all, with its seven allotropes, its pyrophoricity, extreme toxicity, and the fact that a dedicated facility with considerable power consumption requirements would be needed to run the cyclotron, configured to accelerate an alpha particlle beam, and firing this into a target made of beryllium metal, would kick out neutrons, that could be used to irradiate depleted uranium, ending up as neptunium, the element immediately after plutonium in the actinide section of the periodic table, along with some plutonium 239, and the Np would have to undergo decay to produce more 239Pu, then one would need to purify it chemically, and electrorefine it.
And thats before ever even getting close to making a bomb out of it.
On the other hand, any old hack could knock up chemical weapons like VX or sarin, and someone with access to the funds could build themselves a biotech lab capable of producing deadly viral agents, cultivating nasties like the plague etc. and doing evil things with the diseases they bred.
But to make a nuke, its going to take a lot more effort and probably not be something the bastards could achieve.
