There were some activities there by Mediterranean peoples, especially the Phoenicians, who had at least one "trading settlement" at Mogador, far down at the southwest edge of the Sahara (see here).

A couple of factors seem to be at play as far as evidence of a more substantial presence (by Phoenicians, Greeks, Romans, etc). First, the pursuit of evidence in those places is very poor. Traditionally, not many western archaeologists have set out upon their careers to look for evidence of west African trade with the Med., and excavation towards such an end is essentially non-existent in west Africa, especially in the modern era. Our perception of the east African littoral is enriched by later medieval activities by Islamic traders (for instance), and so there is much more of a locus and an impetus for archaeological investigation there.

Second, the geography was dangerous for seafaring. In fact, the waters of western Africa, especially south of the Gulf of Guinea, continue to be treacherous even for modern ships. There are not very many good harbors between Tangiers and Dakhla, and even Casablanca's harbor is man-made. The Romans could have easily built a harbor if one was required, and so then the question is: why would they? They got all the resources they needed from the African interior via trade routes through the Sahara into depot cities in the Maghreb.