There are as many reasons why people don't log a DNF as there are reasons why they do.
Honestly, I believe most geocachers, including myself, have a psychological aversion to admitting that they have "failed" at finding a geocache, which is why I think most of us are reluctant to log a DNF. And while this may explain why we don't like logging a DNF, not logging a DNF is still an odd phenomenon considering it has no effect on a geocacher's stats, nor is it visible to anyone other than the user, and in reality, can actually be pretty useful.
In more recent years, I have come to actually appreciate logging DNFs. Why? Well, for three reasons:
1. A DNF log provides other geocachers a cautionary notice that the cache may be more difficult to find, or that it may have gone missing.
2. A DNF log allows geocachers to filter out all of the caches they haven't been able to find so that they can ignore or dismiss them in a search, or it can provide a list of geocaches they can revisit at a later time.
3. A DNF log alerts the cache owner to the condition of a geocache (or its attributes) that may need their attention or maintenance.
Case in point - my last few geocache hides have all started off with DNFs. None of them were particularly difficult to find, and I received several messages from other local, experienced geocachers stating that they had had to widen their search to finally find the geocache. After going back out with my trusty old GPSr, I soon realized that using my mobile phone to get coordinates for geocache hides instead of a dedicated unit wasn't my greatest idea. Without the DNF logs, I would have very likely continued placing geocaches with inaccurate coordinates.
What about a Note?
Sometimes a DNF log isn't actually appropriate, and in these cases, it is preferred that geocachers use a "Write Note" log instead. The most common reason for this type of log is to add information to the cache page and is not equitable to a DNF log. Examples for submitting a "Write Note" log include when a geocacher revisits a geocache (with a friend who hasn't found the cache yet), drops a trackable into a geocache previously found and logged, or when the geocache is part of a challenge cache but the finder has not yet completed the challenge tasks yet.
Personally, I use a "Write Note" log when I have gone to (or attempted to go to) GZ but was prevented from searching for the geocache due to circumstances that had very little, or nothing at all to do with the geocache itself. Examples include arriving at GZ only to be confronted with lingering muggles, or at a time when the geocache is simply inaccessible (such as a LPC that has been covered with a pile of plowed snow). With this type of log, I can adjust my own search times or season to better fit the geocache and requires no action on the part of the cache owner.
NOTE: There are other types of logs a geocacher can use when a geocache cannot be located, but I would suggest anyone read through the official geocaching.com policy on when an "Owner attention requested" log is necessary, and more importantly, when it is not.
In all instances, a geocacher should attempt to contact the cache owner directly if they have concerns with a specific geocache. If this fails, "requesting reviewer attention" may be the next best option.
Not all geocachers play the game the same way, nor are as involved as others, so patience and manners are always appreciated.