Some people do. Off the top of my head, Davies wrote a book called The First English Empire or something similar, and Gillingham has explored the (slightly different) concept of the 'Angevin Empire'.

Scotland is less of an issue because it wasn't really 'conquered' in the way that we understand empires to conquer other places. Wales and Ireland are more interesting. Ireland in particular is considered a colony by many historians, and compared with other colonies.

I imagine that the idea of an 'English Empire' isn't considered for a number of reasons. Firstly, England did not call itself that, and it can be anachronistic to use labels that contemporaries would have understood differently. Secondly, history became a profession in the centuries post-'Enlightenment', and was tied to the idea of the nation-state. During this time the idea of 'empire' was connected to despotism, the 'East', and foreignness in general. England's evolution was attached to kingship rather than Empire. Thirdly, it would seem somewhat teleological. Finally, the idea of empire isn't particularly popular right now.

Essentially: the idea is debated, and Wales and Ireland are often considered in the light of post-Colonial historiography. The anachronistic use of the term in particular makes it a difficult label however.