They... didn't fail to do so?

Rome conquered Celtic Gaul, Hispania, and parts of Brittain. Are you confusing Celtic and Germanic?

The only Celts that escaped Roman conquest were those in Ireland. Ireland escaped conquest because the Romans in Brittania were busy dealing with rebellion from the Picts the one time they actually considered invading. After that, they built Hadrian's wall and gave up on conquering more land in the region.