Because they really do not need to. Handheld consoles are released purely to try and give a company an edge over another (it was the new craze with technology), microsoft don't even need to waste the time doing so due to the fact they dominate the computing market (and fan boys of other consoles/computers, suck it up because it is 100% true), they also dominate the gaming market, so they already have the biggest 'edge' over any other company. So their is really no need for them to release one.
And for the person above, no offense, but realistically, Sony is no more a threat to MS then a spider is to a Human, they can scare them, but ultimately can never be bigger then them.