Because he didn't have the strength to create one. He put a big part of his power in that ring and since he lost the ring, he was weakened; thus he couldn't create another one.
And much of the strength and will of Sauron passed into that One Ring; for the power of the Elven-rings was very great, and that which should govern them must be a thing of surpassing potency; and Sauron forged it in the Mountain of Fire in the Land of Shadow. And while he wore the One Ring he could perceive all the things that were done by means of the lesser rings, and he could see and govern the very thoughts of those that wore them.
The Silmarillion, Of the Rings of Power and the Third Age
It was a risk he was willing to take and he did.The fact that he was weakened is mentioned in The Fellowship of the Ring by Gandalf:
This is the One Ring that he lost many ages ago, to the great weakening of his power.
The Fellowship Of The Ring, "The Shadow Of The Past"
Also, he did know that the One Ring wasn't destroyed, so his plan was to retrieve it, rather than create a new one. He knew that he was one of the really few creatures that could actually handle the Ring, so he was betting that it would get back to him eventually.
And keep in mind that this Ring was already the master of all the other Rings; so, to create an even more powerful ring would be really hard, if possible at all.
If I'm not mistaken, wasn't it mentioned on Silmarillion that the One Ring was his best craftsmanship? It would be hard to repeat the process and even harder to overcome the previous Ring.