Did they attempt to and fail, or did they simply not see the point? I'm asking this because from further research into the Mongols, I saw that their empire's size was quite similar in distribution to Alexander's, yet neither held India.
hi! not discouraging other responses here, but re the Mongols, you may be interested in this post from the FAQ, featuring /u/MrBigHouse
and regarding Alexander the Great's Invasion of India:
Why didn't Alexander's army defy his orders at Gaugamela but they refused to continue in India?
What was the effect of Alexander's Invasion on India both Politically and Culturally???
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