As far as I understand the only first hand, written sources we have of vikings were written by someone who encountered them and not the vikings themselves. Yet they did have a written language. I realise we have the sagas but as far as I can understand they were written down hundreds of years after the viking age.
Bear in mind things like we only know that Offa, one of the most powerful kings in Anglo-Saxon England, had written a legal code because Asser's Vitæ Ælfredi, written about a century later, says that Alfred studied Offa's legal codexes when writing his own. The Anglo-Saxon Chronicle only survives in manuscripts copied potentially centuries after they were first recorded, and that both the Chronicle and a variety of later medieval historians like William of Malmesbury or John of Worcester flesh out events from presumable sources now long lost to us. And this is in England which has a long tradition of Christian history written in Latin and preserved in archives.
Even if the Scandinavians did have a written history in the runic alphabet, the sheer chance of it surviving at all, especially given the inventions and adaptations of Norse mythology when Latin began to be written in Scandinavia, is extremely low.