Mortals were not allowed to go to the Undying Lands, except in certain circumstances (Frodo, Bilbo, Gimli, etc.). If Arwen had tried to go West, it would have been a betrayal of her choice. She couldn't "have her cake and eat it too." When she chose to marry Aragorn, she chose to give up her right to sail to Valinor, and that right she gave to Frodo. It would have been a quite callous betrayal of the worst sort had she gone back on her choice after Aragorn's death, and sailed to Valinor.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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