Quite simply because it was so far away. Back when Mexico was called New Spain, there wasn't a great push to colonize the north because of the arid landscape, and because most of the pickings as far as wealthy civilizations went were further south. The silver mines and the sugar and coffee plantations were significantly more profitable than ventures into a hot desert. Not too many people decided to settle there other than cattle ranchers, and even they had trouble with the desert. Plus most of the population -- indigenous and otherwise -- was centered much further south in Mexico City. Very little infrastructural focus combined with bad supply lines meant no reason to travel north.
About the only people interested in going were the missionaries -- the Franciscans to be exact. They weren't particularly mainstream as far as Catholic orders were concerned, being more focused on conversion to Christianity and most of their specific theology centered around poverty. There were some missions established concurrently with Jamestown in New Mexico, but then came the Pueblo Revolt in the late 1600s, which set things back a bit. The first missions in California were in the mid 1700s, around when the British colonies were fighting the Seven Years War (more commonly known in the States as the French and Indian War). The Franciscans did their development then.
When Mexican independence from Spain came in 1821, they had been fighting for too long to care about some remote state to the north. Afterwards a wave of secularization passed through in the 1830s which further isolated the north -- those settlements that existed were primarily religious in nature.
And then of course California was sceded to the US in the Mexican-American War in 1848. Immediately following that was the gold rush in 1848-9. By that point any development would be mostly Anglo in origin, although there was significant immigration from China, Japan, and other parts of Asia.
So to summarize: it was remote, the missions got setbacks that discouraged further exploration of the area, and by the time settlements did begin to pop up Mexico was too preoccupied with independence, liberalization, and a war with the US.