My guess is - that they don't do it because they look ahead and wonder what would happen to a galaxy filled with their species - and whatever technology any of them would unleash on the galaxy.
Once you have self replicating machines, is easy to transform entire galaxy to your wishes. Could design a self replicating machine to dismantle all the planets in the galaxy and turn them into paperclips for instance.
Obviously nobody has done that yet as we are still here. And not likely in near future because chance that someone evolves technology at exactly same time as us is minute and if there are other ancient millions of years old ETs obviously they have safeguards that prevented this from happening.
But - if you then set out to colonize the galaxy - then within a very short time geologically - entire galaxy is filled with your kind. And they may be as bad as the self replicating machines. Any of them indeed could unleash self replicators. Or could set out to change the galaxy just by hand, with powerful technology and hundreds of billions of trillions of people doing the job.
So - this is a major risk - to colonize the galaxy - for all other ETs in the galaxy - and for the originating ET also - because who knows what some of them might do - or the machines they create - when they come back to your home world some thousands of years in the future?
Sort of like the Borg in Star Trek - but more powerful and unstoppable than them - and with totally obscure ideas - maybe literally they are just an out of control tightly constrained but self improving paperclip making machine with no other purpose than to make everything into paperclips.
When an ET gets to the point where it is easy to make self replicating machines, or to colonize - I wouldn't be surprised myself if they all look at this possibility - and decide - that the galaxy is a better place without them. And may set up a network of monitoring posts to look out for other ETs that might start to do the same thing - if I was part of a millions of years old civilization - if such exists - that's what I'd want us to do - to monitor the galaxy to make sure no other ET spreads to colonize the galaxy - unless they can somehow show that it is totally safe to do so.
But exploration would be fine.
I imagine a millions of years old civilization would not be in any particular hurry. But if such do exist - and if we start to colonize the galaxy - then probably within a few centuries one of them would turn up and ask us what our plans are and ask us to show what safeguards we have in place to make sure the galaxy is not made useless and uninhabitable by our descendants.
Or might be - that when you get to that stage - that it is so clearly reckless that nobody colonizes the galaxy - so no need to police it, and that the reckless ETs all destroy themselves long before they get a chance to attempt colonies.
On the other hand we may be first, we may be the "proto ETs" of our galaxy, first to evolve to technology, if so we need to act responsibly and carefully. And may encounter non technological ETs more advanced than us in other ways - hopefully by then we will be civilized enough to treat them decently.
This is quite optmisitic if it's right - means that there might be many ETs in our galaxy - and that we might contact them some day, and that they are unlikely to have expansionist aims or to want to do anything except teach us and learn from us and exchange information.