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Maybe because the story ended up so convoluted that one film couldn't possibly tie up all the loose ends.
Also, if the movie was to continue the story from the series, it would only appeal to X-Files fans, and no new viewers.
If you look at the first X-Files movie, it had a plot that stood on it's own and contributed to the overall plot of the series, so it catered both to X-Files fans and people who had never watched the show before.
Maybe that's what they're doing with the new movie, or maybe they're simply trying to appeal to X-Files virgins, because most of the fans (Well, me at least) stopped liking the show during the last season.
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