Aside from @Micah's answer, there are the realities of the Asgard state of affairs. Devastated from the war with the Replicators, with no chance to repopulate due to their cloning problems. They developed a rapid degeneration disease from it. So few survived with no chance of continuing, that there was no reasonable chance that any ancient technology would help in time. If they died without getting rid of their technology, someone like the Goa'uld would come along and use it.
Additionally, the Asgard suffered losses from the Ori, and they probably knew about the Wraith, who were a match for the Ancients at the height of their power. Any Asgard venture into the Pegasus galaxy would mean the Wraith would attack, win, and take over their technology as well. It would not be wise.
Finally, in seasons 9 and 10, Kvasir says Thor and Heimdall are otherwise engaged in another galaxy. They could very well have been in the Pegasus galaxy, we just didn't know.