Apart from the lack of Atlantic ports, which meant being at the total mercy of sometimes hostile Iberian powers to cross into the Atlantic (recall the Italian Wars, through which Spain seized the Duchy of Milan and Kingdom of Naples, and became the hegemon in Italy) the Italian states simply did not have the institutional apparatus to pursue a colonization policy, but more on that later.

First, a bit of narrative, because I think it reveals how the lack of Atlantic ports is not a detail to be underestimated (indeed was there any European state without Atlantic ports that pursued colonization?). The Italians were almost continuously at war between 1494 (four years after Columbus' voyage) and 1559; and although France and Spain were habitual participants in these conflicts, understandably it was easier for them to periodically turn away from the chaotic Mediterranean and turn their attention to the Atlantic (plus, government is a complex thing that is more than capable of multitasking). However, the small Italian states were literally surrounded by war and much too preoccupied with their survival to turn attention and resources to anything else, so they missed out on the entire early colonization process. In fact, through this lens you could very well argue that French and Spanish involvement in Italy is the other side of the same coin as colonization!

It's also worth nothing that the Republic of Venice did have an extensive colonial empire in the eastern Mediterranean, encompassing all of Istria and Dalmatia as well as the islands of Crete, Corfu, Negropont, and Cyprus. However, colonies were used as stopping points along the trade routes to Alexandria and Istanbul, and as bases from which to project power in the Adriatic and Aegean seas; whereas the Atlantic Ocean was much less up the alley of the Venetians and their trade routes. Opening up colonies and trade routes over the Atlantic would have comported a massive re-alignment of the Venetian economy. It just wasn't worth it: although the Atlantic trade was certainly an economic boon for Western Europe, the Mediterranean economy didn't stop overnight; people were still moving goods and services from point A to point B. Mediterranean stagnation is better understood as a gradual, century-long loss of capital and trade in favor of the more lucrative Atlantic trade, and the mediterranean trade nonetheless until around 1820 allowed the Italian states to enjoy the third-highest concentration of wealth in Europe. They weren't about to up-end their society for uncertain gains that would nonetheless be at the mercy of the greatest power on the peninsula!

Lastly, it's worth noting that Columbus' first voyage was partially financed by Genoese bankers, and after King Francis ceded the Duchy of Milan to Charles V of Spain (and Austria) the Republic of Genoa became an important client of the Spanish Empire. The Genoa-Milan-Burgundy axis became and important supply line to the Spanish Netherlands, while Genoese investors and merchants played an important role in financing Spanish expansion in the Americas. Thus, you could also argue that the Italian elites were involved in colonization on the personal level, just not at the state level.