Well, to a certain degree they did. The Reconquista didn't stop at the tip of Iberia; Ceuta, Melilla, and the minor territories on the Moroccan side are remnants of this, starting in the early 15th century with Ceuta (conquered for Portugal in 1415). Elsewhere on the mainland of North Africa it was simply impossible to hold on to territory; by that time, too, coastal African trade, the islands of the near Atlantic, and then the Americas became much more important and the expansion of the Ottomans into North Africa (as well as the ongoing militarization of Morocco) closed that avenue for them.

Portugal in particular also commissioned ships down the African coast (although others went without special sanction, including French, Spanish, and even some northern European hulls); they took possession of any islands found off the coast, because these had no permanent habitation unless they were visible from the mainland. Sao Tome is the crucial example here, which by the time of Columbus was starting to produce highly profitable sugar.

But why not the mainland further south? Well, the sub-Saharan mainland was pretty well inhabited, ecologically dangerous to people with little or no acquired immunity to endemic diseases like malaria, and militarily more than a match for small groups of Portuguese far from home. Where possible, they made alliances; Joao I of Kongo converted because they were useful allies for him, but elsewhere, the only places open to them were on the coast. So Elmina and the Cape Coast (modern Ghana) predate Columbus, although he was in fact on the 1482 expedition to the former! John Thornton's early chapters in his Africa and Africans in the Making of the Atlantic World explains the dynamics very well, because they involved much more equal trade but in reality at that point Africans tended to have the upper hand.

Finally, unlike in the Americas, where the eventual arrival of European diseases and ecological elements (including pigs, which were terribly destructive) undercut local power and killed huge numbers of people, Africans were not immunologically naive to most European disease, while Europeans were susceptible to tropical African ones. They could, and did, establish a major trading and garrison presence where they were in sight from the coast and in range of their cannon, but inland things were dicey at best and would largely remain so until the middle of the 19th century.

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