Sails take quite a bit of space to store, they aren't exactly the lightest thing, and you need training and coordination of the sailors to deal with them. They also probably just dont provide enough benefit to offset the costs -- as I said before, sails don't actually provide that much force.

There are a lot of smaller boats that have both sail and mechanical engines, but that only works because they're small enough that the sails can provide a significant amount of force. And if you look at the transition period between the Age of Sail and Age of Steam, there were a lot of boats and ships that had both sail and steam engines. The sails were mainly relegated to backup, or to help out the steam engines, but these hybrids existed.