She wanted him to suffer. She made a point of telling him how she was going to prolong his agony before killing him.
However, I believe she was interrupted by the Governor's henchmen arriving at the door.
While she could have taken a couple of extra seconds to ensure that he was dead before she left, Michonne had been living on her own (if you don't count her two walker "companions"), and had a very finely-honed survival instinct. I don't think its a stretch to imagine that she'd react instantly the moment she heard reinforcements arrive, without taking the time to finish the Governor off. For someone who has lived out in the wild, on her own, as long as she has, self-preservation would likely outweigh vengeance, no matter how badly she wanted revenge.
Besides, as was already pointed out, she probably believed there was a very good chance he'd die from his wounds. She'd also had plenty of time to work him over, in a variety of horrific ways.
It is possible that she even considered that the longer he lived in the state she'd left him in, the more complete her revenge would be.
She didn't want to kill him. She wanted to hurt him, to repay him for what he did to her. The dead feel no pain.