They did try in the War of 1812, which was a failure. The US did achieve one of its stated war goals - to have the British accept US citizenship as a protection against being pressed into service in the Royal Navy (before this, the British had considered anyone born a British subject someone possible to press into service - which included a large part of the US population.

However, the US failed to conquer Upper and Lower Canada and the British landed on the East Coast, defeated the militia and captured Washington in 1814. To avenge the US burning of York (later Toronto), the British forces burned down the public buildings in Washington, but spared private property.

After the Napoleonic War, Britain was not only the world's strongest power both militarily and economically, starting the industrial revolution way head of anyone else, it was also the primary trading partner of the US. The British exported industrial goods and imported grain, tobacco, cotton, rice and corn from the US.

The Canadian militia had fought bravely both in the Revolutionary War and the War of 1812 and made it quite clear that they had no desire to become US citizens and would fight to stay British subjects.

The British Royal Navy had the ability to completely shut down US trade in case of a war, the British military was far stronger (with a large force of regulars that proved themselves superior to the militia on several occasions).

So, to sum it up.

Canada was full of people that did not want to become US citizens and had proven they were prepared to defend themselves to avoid it.

Britain was the most powerful country on earth after the Napoleonic War.

The US had many other places to expand into - Florida, Creek territory, the west, south against Mexico and so on.