The short answer is "Risk vs. Reward".
Since its inception, the Zelda franchise has earned Nintendo an estimated $4bn in sales (81 million game unit sales, times an average cost of $30 per unit + mangas, merchandising, live shows and tours). Given the relative success of each of the 15 games in the series, it's quite hard to see how a film adaptation would dramatically improve game sales since their core market (14-30 year old males) already own at least one console, meaning that the main aim of a film would be to 1) Make money from the film and 2) Not damage the game franchise.
How much money could a Zelda film make?
Assuming a major studio was willing to put up £100M, they might make back $500M if they were incredibly lucky. More realistically, they could end up making $2-300M if they could find a favourable summer release slot within the next 5-7 years in an incredibly overcrowded marketplace.
Even if the film made a billion dollars, as the license-holders Nintendo would only get about £100M of that back, roughly equivalent to the amount that they make from a single game release.
What would the plot be?
Good question. There have been several Zeldas set in several time periods. The main protagonist is a effeminate young boy who's sent on a question to rescue the titular Zelda, who most non-gamers don't realise is actually the damsel, not the hero. Each game utterly fails the Bechdel test and consists largely of fighting and walking around villages all hung together with a semi-serious mythos about a magic triangle, amnesia and something to do with a time travelling recorder. Confusing.
Once bitten, twice shy
Nintendo's last foray into big-budget filmmaking was a mega flop and something that seems to have soured them on the idea of risking their IP (intellectual properties) on films.
If the Zelda film resulted in their losing 5% of their worldwide sales for 5 years, that would be more than double the potential gain from Zelda: The Movie being the most successful film of all time.