why is He molecule not formed

Dihelium is made of 2 helium atoms. Each helium atom has a full 1s orbital and so has a noble gas configuration. This makes it stable. If a covalent bond was formed between the two He centres, then you would still have the same noble gas configuration, there is therefore no energetic preference between 2 helium atoms or one dihelium molecule.However, two atoms have greater entropy than 1 molecule, since they have more degrees of freedom. This increase of entropy makes it preferable for helium to exist in a monatomic state, rather than as dihelium, by the second law of thermodynamics.
A more advanced treatment of this problem involves using molecular orbital theory- a quantum interpretation of the problem. Doing this shows that dihelium has a bond order of 0, that is attractive and repulsive forces exactly cancel each other out to the first order. (in reality it is ever so slightly unstable.) This lack of any net interaction between the two, means only entropic effects need to be considered.