Almost certainly because you're pruning it too hard and at the wrong time. Leave it alone and only cut the dead heads and any dead branches off in spring. The traditional time to do that here (Cornwall) is during Lent. Bamboo recommends doing it in April. Hydrangeas flower on old wood so pruning at any other time takes the flower buds off.

The other possibility is that it's a very young plant, but if you leave it alone, water if it's dry and only prune in spring it will have a chance to develop flower buds.