Buddhists did send missionaries West and were quite well received by the Indo-Greeks, who are praised in Buddhist sources for their piety, so I don't think the failure of Buddhism spreading west had anything to do with lack of trying.
I'd argue that the failure of Hinduism and Buddhism spreading to the West might have something to do with the rise of the Sassanid Dynasty. Whilst later Shahs would have a more tolerant attitude to other religions the first few Sassanid Shahs initially clamped down quite hard. Kartir, Ardashir's Moabadan-Moabad, actively boasted of stamping out the Buddhist and Hindu communities in the eastern parts of the Empire. Even as the Empire became more tolerant it was still going to put a limit on the spread of Buddhism within it's territories. Then Islam came and, well, that's not doing any old religions coming from the east any favours.
Frankly, the Sassanids were never tolerant in any real sense of other religions. Their policy it seems, came to be if the religion can assist the state policy of the Sassanid empire, then it is tolerated or promoted; if it does not, then it is actively destroyed. Zoroastrianism, was in the early Sassanid period, the favored of these state devices, however, by the middle Sassanid period (5th century CE), Sassanid ruling opinion tended to be hostile to the Zoroastrian priesthood, which opposed at various times, the power of the monarch and aligned most greatly to the 7 Noble Houses. It is in this period that we find that the Sassanid monarchs show favor to either Mazdakism or to Nestorianism as a way to increase the power of the monarch and or to diminish the power of the Great Houses and the priesthood. Religions in eastern provinces of the Sassanid realm and the Iranic polytheism, was itself opposed by the Sassanid authorities as a way to monopolize power in the hands of the monarch, general reform trends and enmity for this religious diversity that was a hallmark of the prior competing Kushanshah and Arsacid empires that preceded the Sassanid.
@Zwide It may not be that case that it was necessarily a Zoroastrian persecution, ultimately, Kartir was while a high priest, also an advocate of the absoluteness of the monarch of Eranshahr. His views of heterodox religions within the empire gifted themselves directly to the Sassanid notion of kingship and the new ethos that was to replace the weak and decadent Arsacid Parthians. Likewise, the fall of the Kushan empire to the Sassanid empire, broke the spread of Buddhism and Indic religions (such as 'Hinduism' of its varied forms), at least in the east-west fashion. Later, the Islamic conquests would not only disrupt the transfer of these Indic religions, but end their demographic existence in most areas that they co-inhabited.