Well, why don't we? Today's My Utmost for His Highest has an interesting take on that very question:
Are you seeking great things for yourself? Not seeking to be a great one, but seeking great things from God for yourself. God wants you in a closer relationship to Himself than receiving His gifts, He wants you to get to know Him. A great thing is accidental, it comes and goes. God never gives us anything accidental. There is nothing easier than getting into a right relationship with God except when it is not God Whom you want but only what He gives.
If you have only come the length of asking God for things, you have never come to the first strand of abandonment, you have become a Christian from a standpoint of your own. "I did ask God for the Holy Spirit, but He did not give me the rest and the peace I expected." Instantly God puts His finger on the reason – you are not seeking the Lord at all, you are seeking something for yourself. Jesus says – "Ask, and it shall be given you." Ask God for what you want, and you cannot ask if you are not asking for a right thing. When you draw near to God, you cease from asking for things. "Your Father knoweth what things ye have need of, before ye ask Him." Then why ask? That you may get to know Him.
Are you seeking great things for yourself? "O Lord, baptize me with the Holy Ghost." If God does not, it is because you are not abandoned enough to Him, there is something you will not do. Are you prepared to ask yourself what it is you want from God and why you want it? God always ignores the present perfection for the ultimate perfection. He is not concerned about making you blessed and happy just now; He is working out His ultimate perfection all the time – "that they may be one even as We are."
So, why don't we get things from God? Why doesn't he "answer" our prayers (he does…just not the way we always want)? Simply because we are asking for the wrong things. We are asking for things for us: a new car, bigger house, more money, etc…. In reality, we should be asking God to reveal Himself to us, to draw us closer to Him, to use us for His will.