I was just watching a documentary about his children, and marrying his daughters off to foreign royalty seems like such an obvious choice to keep them safe. It seems that the oldest daughter, Olga, was about to turn 23 when they were killed which, especially for the time, was certainly old enough to be married. Was it that he and his wife didn't realize how bad things had gotten for them, or was there another reason?
To answer this question we must understand that there were two different Russian Revolutions - the March Revolution and the Bolshevik Revolution (which was on November). The Royal Family was imprisoned after the March Revolution and killed after the Bolshevik Revolution while they were still imprisoned.
Tsar Nicholas II was out West near the Russian-German Front starting in 1915 when he declared himself Commander in Chief. This was very important, because he was nowhere near St. Petersburg/Petrograd when things started going to hell and the Revolution started. Despite urging from Allies, the Tsar didn't make any constitutional reforms to appease the Russian people and stayed at his war HQ hundreds of miles from the capital through 1916.
In March 1917, things quickly came to a head when food shortages, massive inflation, and huge shortages started riots in Petrograd. Police officers and soldiers started shooting the rioters, and then the Tsar ordered that the soldiers in Petrograd forcibly put down the angry protestors, not understanding just how serious the situation was. Eventually the surprisingly undertrained and undermanned soldiers in Petrograd (including the famed Petrograd Garrison) sided with the Revolutionaries, and the Tsar was in deep trouble. On his train ride back to Petrograd, he was stopped and essentially forced the abdicate the throne.
After his abdication, he desperately sought political asylum in Britain and France but was denied. Essentially, this was the first time he'd recognized that his family was on danger, as he'd simply not been in Petrograd in the buildup to the Revolution, and didn't know how much danger he and his family were in. That's why he wasn't desperately trying to marry off his beloved family, he just wasn't there with them and didn't know how bad it was. The Revolution took him completely by surprise, he had no opportunity to marry his daughters off. Olga was only 19 when the war started and supposedly wanted to marry a Russian man rather than royalty from Germany, Britain, or some other place.
After the Tsar and his family was under house arrest, he couldn't marry her off for obvious reasons.
Sources: Various books and lectures over the years, particularly "A History of the Modern World" by R. R. Palmer and Joel Colton
Edit: spelling