Because Eru Iluvatar forbade it.
In the Ainulindale, "The Music of the Ainur" Tolkien writes that Iluvatar directed to Ainur to make a great music and they did, but Melkor wanted to do things his own way and started his own music in competition
and straightway discord arose about him, and many that sang nigh him grew despondent, and their thought was disturbed and their music faltered; but some began to attune their music to his rather than to the thought which they had at first. Then the discord of Melkor spread ever wider, and the melodies which had been heard before foundered in a sea of turbulent sound.
This is Melkor/Morgoth's first rebellion and, importantly, it is a selfish rebellion against Iluvatar and a domination of others' wills. As this first, so all the later.
The Valar were also tempted to dominate others' wills -- with the best of intentions of course! -- but this never went well:
Elves and Men are the Children of Iluvatar; and since they understood not fully that theme by which the Children entered into the Music, none of the Ainur dared to add anything to their fashion. For which reason the Valar are to these kindreds rather their elders and their chieftains than their masters; and if ever in their dealings with Elves and Men the Ainur have endeavoured to force them when they would not be guided, seldom has this turned to good, howsoever good the intent.
This is as close as you can get to the moral basis of Arda: Even "the Valar are to these kindreds rather their elders and their chieftains than their masters". The Great exist and are genuinely great, but this does not give them the right to dominate others.
The rebellion of Morgoth and Sauron was basically against this moral principle. Morgoth, out of a lust for personal power, and Sauron (initially at least) out of a techie's dream of a perfect, tidy, efficient world. They had their dreams and were the sort of beings who would follow those dreams no matter the cost to others. Both Morgoth and Sauron chose the path of domination.
How? Well, initially armies and the use of their own power -- the Silmarillion is full of those stories -- but Morgoth and then Sauron discovered that they could pour their essence (spirit? being? strength?) into a material object to give themselves much greater mastery over the world.
Morgoth, who was a "bitter cold immoderate" sort of guy who liked the "turmoils of the heat and the cold that had come to pass through him" wanted to dominate reality and poured his strength into Arda itself and gained power over the physical world. Sauron, who initially just wanted people to work together to build a better world (under his direction, of course) eventually poured himself into the One Ring so that with it he could "encourage" people to work together under his direction. I.e., so he could dominate the wills of others.
It is said that Sauron originally meant well, but because he chose domination as a tool, his own self became corrupted and in some respects the Second Age is the chronicle of Sauron's final corruption. Note that at the time he forged the Ring he could still appear fair and persuade people. After making and using this tool of domination to rule Middle-earth and to destroy Numenor, he permanently diminished himself and could only appear as a Dark Lord.
The Valar knew that domination -- the use of power to force Men and Elves -- had been forbidden by Iluvatar. And if they were tempted to ignore that they had what happened to Morgoth and Sauron when they forged their Rings to see.
Why would they even consider making their own?