Because they are:
- expensive (catching, Transportation, Food, Space etc.)
- difficult to keep (e. g. aggressive interactions between sexes as already mentioned here)
- a risk in regards of "reputation" (afaik, whale sharks are on the Red List of endagered species of IUCN, so even some gouverments would allow to catch them, the zoological institutions doing so bare the risk that animals could die during the procedure or shortly after and so they risk to be attacked from animal rights activists...)