When Catelyn comes across Alyssa's Tears she comments that the mist from the waterfall is getting to her and no drop has ever reached the ground. So likely because of it's height it turns to mist before it hits the ground.
The eastern sky was rose and gold as the sun broke over the Vale of Arryn. Catelyn Stark watched the light spread, her hands resting on the delicate carved stone of the balustrade outside her window. Below her the world turned from black to indigo to green as dawn crept across fields and forests. Pale white mists rose off Alyssa's Tears, where the ghost waters plunged over the shoulder of the*mountain to begin their long tumble down the face of the Giant's Lance. Catelyn could feel the faint touch of spray on her face.
Alyssa Arryn had seen her husband, her brothers, and all her children slain, and yet in life she had never shed a tear. So in death, the gods had decreed that she would know no rest until her weeping watered the black earth of the Vale, where the men she had loved were buried. Alyssa had been dead six thousand years now, and still no drop of the torrent had ever reached the valley floor far below. Catelyn wondered how large a waterfall her own tears would make when she died. "Tell me the rest of it," she said.
A Game of Thrones, Catelyn VII
Maester Yandel writes that the waters turn to mist before they hit the ground and so no drop has watered the floor.
It is worth remarking on the statue that stands in the Eyrie's godswood, a fine likeness of the weeping Alyssa Arryn. Legend holds that six thousand years ago, Alyssa saw her husband, brothers, and sons all slain, and that she never shed a tear. Therefore, the gods punished her by not allowing her to rest until her tears fell upon the Vale below. The great waterfall that tumbles from the Giant's Lance is known as Alyssa's Tears, for the waters pour from such a height that they turn to mist long before they ever reach the ground.
The World of Ice and Fire, The Vale: The Eyrie
