A better question is why they conquered southern Britain to begin with.

Part of the new status quo established by Augustus was consolidation rather than aggressive expansion. Almost all of the Roman empire was actually acquired during the Republic; Augustus instead (after setbacks in Germania) seems to have resolved on shoring up the permanent, "natural" boundaries of the Empire -- in Europe, the Rhine and the Ocean. His only real exception to this, the attempt to reduce parts of Germania to a province, was at least partly defensive: the Romans were already involved in warfare with the Germans, and it may have seemed that the best way to secure the Rhine frontier was to pacify the areas beyond the Rhine.

But, after Caesar's invasions of Britain, there was almost no Roman contact; certainly the Britons weren't engaged in constant low-level warfare and raiding across the Channel, as the Germans were across the Rhine.

Moreover (see From the Gracchi to Nero by Scullard), the civil wars at the end of the Republic had stretched the Roman army, and the Roman budget, to its breaking point. They simply didn't have the resources for permanent expansion and consolidation of their previous acquisitions.

So they had a lot to lose if they pushed for a difficult policy of expansion. But they also had very little to gain. We think of the Romans as western-facing (after all, they're the harbingers of Western Civilization, right?), but they were probably more interested in their eastern and African possessions, which were vastly wealthier. Northern Europe, by contrast, was comparatively undeveloped at this time. Germany and (northern) Britain barely had agriculture, by Roman standards (they did have agriculture, but the Romans hardly recognized it as such and usually described them as pastoralists and hunter-gatherers; see Tacitus' Germania and Caesar's Bellum Gallicum where he describes the Germans, and The Early Germans by Todd), let alone the fabulous wealth of Asia, Phoenicia, or North Africa. (In Roman literature, Easterners are stereotypically rich and luxurious, Northerners poor but hardy.)

To put it simply, there wasn't a lot in northern Europe that the Romans wanted, but they had a lot to lose by trying to aggressively expand there. Even some Romans couldn't fathom why they would want to conquer Britain or Ireland (Sallust and Tacitus both have barbarian enemies express surprise and indignation that the wealthy Romans would come to steal their poverty, a trope in ancient historiography; see also Valorizing the Barbarians by Adler).

But having fought their way through modern England and Wales, they did try to subdue modern Scotland, probably because it was part of the same island and they might as well complete the job. In fact, they "conquered" Scotland several times, notably when Agricola (in Tacitus' suitably named Agricola) defeated the combined forces of the the northern kings, marched his army from one corner of the island to the other, and circumnavigated Britain with his fleet. But he never ruled outside the boundaries of his camp, and no sooner had the Roman armies moved on than the locals ignored them, and eventually the Romans just gave up (remember, there's nothing in Scotland they want, it's all just ice and frozen lakes to them -- see Seneca) and built a wall.

Agricola thought he could conquer Ireland with a single legion and some auxiliaries. But he was recalled, perhaps because the emperor was jealous of his success (as our sources have it), or perhaps because there was no point in conquering what the Romans, who were after all Italians, thought of as one more frozen wasteland.