[Formendacil]

This could be a case of Tolkien simply not mentioning it (I too, do not recall a single reference anywhere in his published corpus about Elves sailing from Middle-earth to Númenor).

It could also be a case of the Elves forbearing from sailing west so as to avoid the Blessed Realm. Though not exiles in the strictest sense (possibly barring Galadriel and other "chief leaders"--Celebrimbor, perhaps--who might have been under the Ban yet, as suggested in the secondary writings about Galadriel), there is a sense where if they left Middle-earth, they weren't going to come back.

In this respect, it might be a Noldorin analogue to Legolas's reaction to meeting the sea-gulls: before he heard the gulls, he was content in Middle-earth, but never thereafter; before the Noldor started across Belegaer, they were content in Middle-earth, but if they started across they would not return.

There's also a question of whether the Elves would have been entirely welcome in the west (not Númenor, but beyond). The Blessed Realm was no longer forbidden to them after the War of Wrath, so the decision of Galadriel and others to remain in Middle-earth does have a sense of persisting in their "sin," so to speak. Again, to use Galadriel as an example, the decision to go west by the Elves (well, the Noldor--not so much Legolas and his kind) is a sign of repentance, a willingness to fully reconcile with not only the Valar, but with the other Elves still in Valinor--including the re-embodied dead.

With this in mind, it seems somewhat natural to me that the Elves of Middle-earth would avoid going to Númenor. It would not be out of the question that they saw it as part of Valinor's sphere of influence, since it was distinctly analogous to Valinor (as it relates to the Elves), but for Men. And though no longer in dispute with Valinor, the Exiles remaining in Middle-earth do seem to have been 100% willing to put the past behind them.