As we know, cellulose is the most abundant polysaccharide in nature. Why don't we have an enzyme to digest cellulose?
While it's true that cellulose is full of calories, it's very difficult to get the calories out.
Symbiotic bacteria take ages to digest cellulose, and as a result animals that digest cellulose with specialized symbiotic bacteria have a huge gut to house them in.
It's likely that the reason humans can't digest cellulose is because mammals generally can't. And mammals generally can't because it's way too much work, and we don't need to.
This seems one form of a common question about evolution.
That being: "Trait X would seem to be an advantage, so why can't organisms adapt to X?
That is, why don't we have all traits that are advantageous at all? Why not just digest cellulose, but maybe why not lignin as well? Why shouldn't we photosynthesize our own food? What about sonar as well as eyes? We know that some living thing can do all these things.
The answer, somewhat mentioned elsewhere here, is that some advantages are not enough for the adaptation to take hold. You have to consider that there is a cost to each such ability as well.
Cellulose is energy poor and any animal which relied on cellulose would have to specialize in cellulose metabolism to the point that they might not compete against fellow animals that got their food from other sources like meat or vegetables.
Why don't we have any enzyme to digest cellulose?
Why should we? We don't use it as a source of energy so why bother? Even animals that do "digest" cellulose, like ruminants, only do so because of symbiotic bacteria; it would be a poor system indeed in which every organism utilized the same resource. We occupy enough of the food chain as it is.
The question forgets that organisms consume materials for two reasons: To capture chemical energy (which it focuses on) and to gain molecules that the organism cannot otherwise produce. Cellulose effectively serves only one purpose in organisms that digest it: energy production. Eventually, it is broken down into H2O and CO2, both of which are excreted.
Throughout the millennia, getting calories was not that difficult, but getting enough essential micronutrients (vitamins, minerals and amino acids) as humans moved into different environments has been where there was selective pressure. Selective pressure for other calorie sources, such as cellulose, has never really happened. Beyond this, there is a ratio of optimal caloric intake to optimal nutrition intake a human should get from his diet for that human and humanity in general. A mutation or sudden symbiosis with gut bacteria that allowed for cellulose digestion would make it even more difficult to keep that ratio, but it is non-optimal situations where selective pressure occurs. The issue here, in my opinion, is that that would be too great a selective pressure on decreasing the micronutritional requirements. The human would far too easily get calories and need to eat many times more in calories what he needed to get the necessary nutrition. So actually, there is selective pressure against cellulose digestion. Further, because of the way humans are built and the other great primates, this sudden mutation or symbiosis seems very unlikely.
Also, cellulose already serves a vital purpose in the gut. It is commonly called fiber, and allows the feces in the colon to remain moist enough to be passed. Some mammals have adapted colons that can pass very dry feces (the Camel's feces is so dry that you can start a fire with it), but they are typically arid climate species, where water is by far the most precious resource. So the selective pressure was on water intake, not calorie intake.
So there has been no selective pressures on humans to digest cellulose, nor will there ever be, so long as there is such a high need for vitamins, minerals and essential amino acids. Such selective pressure would take the form of there first being super nutrient rich foods (relative to humans), then that same food becoming calorie poor. Basically, humans would have to start replacing a meal or two per day with only vitamin supplements. Even with that, the only mammals I know of that digest cellulose are actually utilizing symbiotic gut bacteria to do so. I can't imagine the clever way humans might get that bacteria into their own guts. Actually, I can.