Only because it's never been consistently practiced for long enough with any particular population of humans. Selective breeding takes multiple generations to produce stand-out traits, even when complete control is taken over the reproduction of a population. Since humans tend to live for quite a few decades, seeing results could take centuries.
The problem with eugenics is not that it won't work. The problem with eugenics is that getting it to work will require running roughshod over the autonomy of a large number of people, for generations. Objecting to eugenics on the grounds that it "doesn't work" is like objecting to nuking a random selection of 50% of the cities on Earth, because doing so won't reduce the population. It misses the real point which makes such proposals objectionable.