Because Austria had its own problems back home with the French and Ottomans next door and a whole Holy Roman Empire to keep in check most Habsburg rulers never could be bothered with such a tedious task. The whole Austrian colonial history pretty much goes back to just two rulers.

First, the Empress Maria Theresia. In 1775 she founded the Triestiner Ostindische Handelskompanie (Triest East-India Trading Company) pretty much for William Bolt, a Dutch guy who had previously worked for the British East India Company before having a bit of a falling out that culminated in the publication of a very successfull book criticising British colonial policies ("Considerations on India Affairs"). He was given a ten year charter to trade under the Holy Roman flag, a ship, the Giuseppe e Teresa ("Joseph and Theresia", named after the current Empress and her son, heir, co-regent and Holy Roman Emperor) and essentially free reign.

Bolt, having secured funding from a banking group in the Austrian Netherlands, went off to India. In 1777 he purchased land in Maputo Bay in today's Mozambique from two local chiefs, erected two cannon forts ("Joseph" and "Theresia") near a small harbour left there by a previous Dutch group, then went on to India, where he had a bit of a row with his former employers who didn't fancy more competition at all, before collaborating with the very much anti-British Indian state of Mysore to start some trading factories there. And finally, in 1778 he purchased 4 of the Nicobar Islands from the locals (the island of Teressa still bares the name of the Austrian Archduchess).

But everything went bottoms up rather quickly. In 1781 the Portugese discovered that some Austrians were sitting on the African coast in an area claimed by Portugal so they sent a 40-gun frigate and 500 men, who did not have much trouble convincing the ten Austrians to go home. Similarly, in 1785 the Danish had enough of enforcing their established claims on the Nicobar Islands diplomatically and sent a ship over, which essentially scooped the six man colonial team up and took them back to their own doorsteps.
Those major losses of commerce opportunities and other, steady losses due to bad financial politics by the banking house - not to mention the lack of Austrian naval power capable of proper power projection overseas - eventually led to the dissolution of the company and the whole concept of Austrian East India in 1785.

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Secondly, Franz Joseph I. Or rather, his little brother Maximilian, who saw the construction (1859-67) of the Suez Canal as an immense opportunity for the Austrian Navy to increase its effectiveness. Suddenly the Mediterranean was not just a big lake with a convenient opening at Gibraltar but could actually turn into an immense global shipping route and a massive shortcut for Austrian naval power projection in the Pacific.
So in 1855 already he sent von Tegetthoff (later to become the most famous Austrian Admiral, k.u.k. Supreme Marine Commander and chief Naval reformer) to scout the Red Sea for viable outposts. Tegetthoff even went on to negotiate the purchase of Socotra, an island at the Horn of Africa, and additionally suggested the acquisition of the port city of Massawa in today's Eritrea. Then in 1857 the Italians once again revolted in the Second Italian War of Independence and drained too many ressources so the purchase was delayed... consequently the British remembered there was still land left they didn't own and grabbed the horn area including Socotra in 1876. Similarly, in 1885 Italy went for Massawa and started their own colony in that area, Colonial Eritrea.

By that time though the interest for colonialisation had faded in the court in Vienna. The only Archduke interested in it had moved off to the Americas as the King of Mexico in 1864 as Maximilian I. and only to then be executed by firing squad in the Mexican Revolution only three years later. Franz Joseph's other two brothers had absolutely no interest in politics - Archduke Karl Ludwig was more of a patron for the art and sciences and was an actual religious nut (who eventually died of typhoid because he drank horribly tainted water from the Jordan river for spiritual reasons) and Archduke Ludwig Viktor was more into interior design if you catch my drift (he was gay... also, liked to design palaces).

And lastly one should not forget to mention the most successfull Austrian colony, a 0.6km² patch of the Chinese city of Tianjin for their participation in the Eight Nation Alliance to crush the Boxer Rebellion (which cost 4 Austro-Hungarians - probably actual Hungarians or Dalmatians - their lives) in 1901, formally only ceded back to China in 1919 as a result of WWI peace treaties.

It's also worth noting that the Austrian scientific expeditions were much more influential...
Like the Novara-Expedition of 1857-59, a scientific journey all the way around the world which not only produced groundbreaking at the time scientific findings in several fields but also brought coca bushes to Europe which led to the first extraction of pure cocaine. Or the Payer-Weyprecht Expedition of 1872-74 charting the Arctic waters and discovering the new island group of Franz-Joseph Land. And many a land expedition in Africa and Asia, including the Massai-Expedition of 1892 by Oscar Baumann, which made him the first European to discover and cartograph the source of the Nile (even if it was only identified as such in 1937 by the German Burkhart Waldecker).

Sources:
Sommerauer, Erich: Die Afrikanistik in Österreich 1824-1992 (2010)
Harrington, Peter: Peking 1900: The Boxer Rebellion (2001)
Basch-Ritter, Renate: Die Weltumsegelung der Novara 1857-1859. Österreich auf allen Meeren (2008)
von Payer, Julius: Die österreichisch-ungarische Nordpol-Expedition in den Jahren 1872–1874 (1876)

Due to its landlocked nature it didnt have a substantial navy. You'll note that the big colony countries, UK, France, Spain, Portugal all have substantial easily accessible Atlantic Ocean ports. And those that didnt, Germany, Italy, Austria, Russia don't have the same degree of access (well Germany does to a degree, but theyre not quite the same).

Germany arrived late for the scramble but managed to secure itself some space. Holland has access but is a fair bit smaller than the UK, France and Spain and its colonies were mainly limited to the far east. Any time a war was likely to break out Holland was likely to fair badly in the long run.

Austria living smack in the centre of Europe is surrounded by potential enemies that can march across the border within days or weeks of hostilities breaking out. Its interest in projecting its influence was thus largely local. As part of the Austro-Hungarian Empire it certainly had SOME naval capacity, both military and merchant. But it never had the capacity to take on the serious Naval Powers.

So, to summarise, it neither had the overall naval power or capacity to effectively compete and the geopolitics of Austria made it less inclined to be interested in such empire building.