Well, there are some good reasons for that.
First, foremost, and Steve Alten be damned, one cannot simply "re-evolve" gills. All the bits and bobs that used to be gills in our water-breathing ancestors are jaw and ear bones now. If some kinda mammal wanted to reacquire the ability to breathe water, it'd have to be from scratch. Evolution is a cheap-ass, so as long as there's a perfectly good set of lungs on that fella, it's not gonna bother to make an entirely new lung-alternative.
Secondly - and psych, this is actually more important - compared to air, water fukken sucks as an oxygen carrier! At its highest, water's potential for holding dissolved oxygen maxes out at 14.6mg/L...for fresh water...at 0°C. Saltwater carries about 7-8mg/L of dissolved oxygen. Good ol' air, meanwhile, holds a whopping 21mg/L of oxygen! Compared to water, that's pure jet fuel! It's just more efficient to go up to the surface for a breath of air and hold it.
TL;DR, mammals don't have the tools to evolve the ability to breathe water and no incentive to do so in the first place.