The short version is because he had powerful sympathetic friends.

There was no real Germany at this point in history, it formed up the largest part of The Holy Roman Empire, which actually was basically Germany plus some bits of what are now Poland, Czech Republic, and other surrounding countries. The Holy Roman Empire was made up of several states, each of which had an Elector as their sovereign - the Elector of Saxony, the Elector of Bavaria, etc. The Electors elected the Emperor, and at this point it was Charles V, the most powerful ruler in Europe, as he was also the sovereign of Spain, the Low Countries, and numerous other small terrotories.

By and large, the German states were all loyal catholics, but Luther appeared during a time where growing resentment of Papal excesses were making waves in several places, such as in the Christian Humanist movement with people like Erasmus. When Luther began his preaching and publishing, he quickly made friends with a few powerful people, most notably Frederick III Elector of Saxony.

The last piece of the puzzle is Charles V, who, although a loyal and devout Papist, resented being told what to do by the Pope in matters of his rule; and sought to exert absolute power in his realm. So when an itinerant preacher starts making waves, Frederick III appeals to have Luther brought before the Imperial court at Augsburg, rather than the Papal court at Rome. Charles V is sympathetic, and Luther answers the case for his diverse teachings. The Papal Legate stopped short of dragging him off to Rome, but after the appearance at the Diet, Luther was excommunicated in 1520.

The pope banned all his writings after Luther refused the papal bull to remove 42 of the 95 theses; but enacting the ban was an issue for the Electors and sovereigns. Since he now had considerable sympathy within Germany, Charles V brought him to Worms (pronounved 'Verms') before the Diet again to answer the case. After being challenged to withdraw, he refused. The court deliberated, and they agreed that to harbour him or supply him would be a crime against the Empire.

So Fredereck III arranged for him to be kidnapped by masked horsemen in the forest, and had him kept in the Castle at Wartburg until 1522, when he returned to wittenburg, again in a castle.

The reason all the Catholics didnt go and get him was because the powerful German electors were enough of a deterrant (open war may have created more harm than it would have solved for the pope); and in any case the Reformation was exploding in Germany, Switzerland, the Low Countries, France, and elsewhere. In suppressing the grassroots rebellion, the Catholic authorities' attention was fully occupied, and there was no SAS or Seal team 6.

Sources:

Kolb, Robert – Dingel, Irene – Batka, Ľubomír (eds.): The Oxford Handbook of Martin Luther's Theology. Oxford: Oxford University Press, 2014

And the 55 volumes of Luther's collected works.

It seems like everyone else who had challenged the Catholic church before him had.

Just want to chime in on this related point: it's actually not true at all that anyone who challenged the Church was burnt as a heretic. In fact, in the medieval period execution was an absolute last resort for the church when dealing with heretics and other religious dissidents. The usual strategy was to attempt to bring dissidents back into communion, either through persuasion or through compromise. Although violence, burnings and repression were all used against heretic groups in the medieval period, they were only deployed after compromise had failed. Recognition of this fact is the survival (if not exactly thriving) communities of Waldensian heretics in south-eastern France from the 1170s to the present day, the Hussites in Bohemia from the 1410s onwards (although the more radical elements of the Hussite movement, such as the Taborites, were violently destroyed) and the longstanding survival of the Cathar heresy in Languedoc throughout the 13th and early 14th centuries. Many of these movements were close enough to Catholic orthodoxy that the church could compromise and, in the end, co-exist with them, albeit the relationships were always tense and there was periodic persecution. The point is that the Church's emphasis was on re-integrating heretics back into the Church (and thereby saving their souls) rather than on killing them.

See also the recent thread on St Francis of Assisi, which discusses the brief period at the beginning of the 13th century when the mendicant movement (the Franciscans and Dominicans) hovered between heresy and orthodoxy (indeed, a splinter faction of 'Spiritual Franciscans' were considered heretical), and how the church successfully moderated their theology and incorporated them into the mainstream.