I wonder how many of us have tried?
I have.
I created my own 'epic' complete with a kind of cosmological structure, myths, maps, etc when I was a teenager. Over the years though, the basic ideas behind some of the characters and some of the stories have stayed with me, and now the stories all exist within my head and in a fully realised secondary world. I have now got rid of Elves, Dwarves and the like, which is not to say that there are some weird and wonderful creatures, but they are of my own making (and quite disturbing, naturally). An analyst might have a field day with it.
I've even attempted to get it down on paper but there isn't enough time to do it justice. Or I will read what I've written and not be satisfied. I did write a novel - not fantasy, but very peculiar - but it remains beneath the bed. I suspect if I put the effort into this then the same would happen. The old saying 1% inspiration, 99% perspiration is entirely true, which is why I instead worked on my poetry.