Simply put, they didn't know how to and (probably) didn't have the skill to do it without seriously injuring themselves.
Per Pottermore;
Creating a Horcrux
And so we arrive at creating a Horcrux, one of the – if not the – most difficult and extreme pieces of magic the wizarding world has to offer, for various reasons.
A Horcrux is created when a wizard takes an object and binds a piece of their soul to it. The purpose is immortality, with the logic going that as long as a piece of your soul survives within the object, then you can never truly die. It’s magic so Dark, so heinous, that it was kept a secret from most of the wizarding world. Yet despite many trying, there are only two known wizards to have discovered how to perform it: an Ancient Greek Dark wizard called Herpo the Foul, who created one Horcrux; and Voldemort, who mastered the spell and created seven. Again, as with flight, it’s an example of how Tom Riddle’s exceptional talents were twisted into evil.
JKR herself describes this magic as something that's both dangerous and, frankly highly inadvisable.
JKR: Yeah, but I would imagine that other people, you know, other people are going to have tried. I think it would be naive not to think that people have been trying for a long time, and thought they succeeded and hadn't, or else, or else you know maim themselves or kill themselves in the attempt. It's such a dangerous thing to do.
On top of which, Voldemort, having discovered the secret of successfully creating Horcruxes, didn't categorically tell his followers what he'd learned. This presumably was out of fear that they might divulge to his enemies that he has them.
“Then you told me, two years later, that on the night that Voldemort returned to his body, he made a most illuminating and alarming statement to his Death Eaters. “I, who have gone further than anybody along the path that leads to immortality.” That was what you told me he said. “Further than anybody.” And I thought I knew what that meant, though the Death Eaters did not. He was referring to his Horcruxes, Horcruxes in the plural, Harry, which I do not believe any other wizard has ever had.”
Harry Potter and the Half-Blood Prince, Chapter 23 (Horcruxes)
He did, however drop the occasional hint in the belief that his followers were simply too dense to understand the importance of his idea. This ultimately proved his downfall.
J.K. Rowling: "Horcrux magic was not Voldemort’s own invention; as is established in the story, other wizards had done it, though never gone as far as to make six."
...
"Voldemort dropped oblique hints; in his arrogance, he did not believe anybody would be clever enough to understand them."
J.K. Rowling and the Live Chat, Bloomsbury.com, July 30, 2007
