Because, quite frankly, it's a terrible idea. It would work against their intentions.
Bruce Banner changes into The Hulk when he becomes angry. He can also change into The Hulk effectively at will (because he is always angry).
Attempting to forcibly acquire or lock up Bruce Banner will only piss him off resulting in two things:
- Forcing a change into The Hulk. As discussed here, it would likely be the uncontrolled Hulk. Good luck stopping that.
- Degrading the relationship between Banner and SHIELD.
If they are to lock him up against his will, they would either have to put him in one of the existing prisons (as seen on Agents of SHIELD) with multiple other prisoners, or put him in a secluded location. The former will definitely incur stress. If The Hulk were to break out, it would also risk the escape/death of every other prisoner. The latter option is better, but any forcible imprisonment is going to aggravate Banner over time.
SHIELD respects Bruce Banner and everything he brings to the table, but they fear The Hulk. They know that if they are to ever utilize Banner and his abilities (Hulk and non-Hulk), they need him on their side.
Additionally, Banner has shown that he can largely function just fine outside of a cell. He is able to resist changing when Natasha and SHIELD approach him in The Avengers, operates well until he is tricked by Loki, and we later see him
listening to Tony sleeping while Tony talks at him.
Most likely, SHIELD is monitoring him after the events of The Avengers, and Banner has likely agreed to it. SHIELD has provided Banner the cabin in the woods. It is secluded, monitored, heavily reinforced, and referred to as "The House That Banner Built", implying that Banner had a hand in designing it. There is evidence in the house (in the form of a Hulk-sized fist print) that Banner had already spent time there.
It makes much more sense to work with Bruce Banner to keep The Hulk in check than to attempt to lock him up.