Because his claims, at least the public ones, we're actually very vague, and an investigation is very likely to not find the things he's claiming, but also not

Because his claims, at least the public ones, we're actually very vague, and an investigation is very likely to not find the things he's claiming, but also not be able to rule them out to a level where he could be indicted (beyond a reasonable doubt). So there is very little upside to the huge waste of money and time.