For Sweden, it requires a bit of an explenation.

First of all, Sweden did try to establish a colony in America. It was called Nya Sverige and lasted from 1638 to 1655 when it was conquered by the Dutch. Sweden also held the small Caribbean island of Saint Barthélemy 1784-1878 - however, it lacked a source of fresh water and was thus unsuitable as a colony. Sweden also attempted to colonise Africa, establishing a trading hub in Cabo Corso in 1650, having it destroyed by the Danes 1658 and captured by the Dutch 1663.

Sweden also briefly held Guadeloupe 1813-1814. Jean-Baptiste Bernadotte (the future Karl XIV Johan of Sweden) recieved the French island (occupied by the British at the time) as a compensation for the property he would lose in Europe when he rescinded his alegiance to Napoleon. The island was sold back to France for 24 000 000 gold francs (or 9 440 000 riksdaler), which was 169% of the yearly state revenue of Sweden at the time.

That said, the Swedes never invested especially much in their colonies, and they were unable to protect them against foreign takeover (Danish and Dutch) in times of war. At the time of colonisation, there were four powers between Sweden and the Atlantic, and all had more powerful navies and a stronger naval tradition than Sweden did - Denmark, the Netherlands, France and England/Great Britain. The result was that Sweden would always be unable to protect any colonies it formed against any of these nations.

Sweden also had a much closer and a much more directly profitable source of income in the Baltic trade - more specifically to control the river mouths and place tolls on all trade that exited into the Baltic Sea.

1620, the Swedish state had a revenue of about 1 400 000 riksdaler. The tolls from the East Prussian harbours taken in the Livonian war 1600-1629 provided about 600 000 riskdaler on top of that yearly until 1635 when it was returned to Poland's East Prussian vassal.

The trade on Daguva/Düna (which exited at Riga), Neva (which exited at Nyen, which would become Saint Petersburg) and Weser (which existed at Bremen) provided enough coin to pay for the local administration, fortifications and their garrisons and a standing army of some 8 000 men in Sweden's German provinces.

Sweden thus focused on acquiring these sources of income rather than expensive far-flung colonies it was unable to protect anyway.