Although it's difficult to explain why something didn't happen, as opposed to explaining why something did happen, removing Mussolini from power in 1925 would have been impractical for three very simple reasons:
The speech where Mussolini implies he was responsible for Matteotti's death was delivered immediately before Parliament was to vote on forwarding accusations of his involvement to the High Court of Justice; and parliament ultimately did not even hold this vote once the speech was complete. The King could, in theory, push for the formation of a new government anyway, but Mussolini was at the head of the party with the absolute majority in Parliament. The King could only ask a different member of the Fascist party to propose a government; and this would only create tension between the Fascist party and the monarchy while achieving nothing.
The King was absolutely terrified of unrest. In 1922, Victor Emmanuel had given Mussolini the Premiership instead of declaring a state of emergency to confront the fascists camped outside Rome. After the resounding electoral success in the election of 1924, in spite of the widespread allegations of voter intimidation and fraud (which had not only triggered Matteotti's public condemnation which ultimately cost him his life, but also caused widespread protest by the parliamentary opposition) the King evidently preferred peace under the repressive Fascists rather than risk returning to the instability of 1919-1922.
Mussolini flip-flopped on his stance with regards to the murder of Matteotti. He occasionally affirmed it was the work of his political enemies to frame him or bring his party's extrajudicial brutality to national attention, but ultimately he used the murder to increase repression, passing the "Very Fascist Laws" ("Leggi Fascistissime") to silence the critics of his party's violence and formally giving start to his regime. It's also important to note he never explicitly admitted to having ordered the murder, only assuming "Moral Responsibility."