One of the most major and obvious reasons is the the federal government does not have the funds to establish federal exchanges. Section 1311 of the federal health law provides for federal subsidies of state health insurance exchanges, but no such funding exists for federally run exchanges. This “error” in the law (yet another one) will require the law to be reopened so that Congress can pass new appropriations, which in this political climate may be unlikely. At the very least it would be near impossible to accomplish before the federal deadline.
An extremely detailed Kaiser Health Report, produced in collaboration with The Washington Post, outlines a variety of other reasons why implementation of a federal health insurance exchange seems to be a hollow threat.