I'm guessing there's no particular reason the ancient Europeans didn't build step pyramids (and some neolithic structures in the Western Mediterranean come fairly close). THey just didn't - perhaps because they had no native tradition of doing it, and never got the outside impetus. Egyptian pyramids weren't an export article, and ziggurats doin't seem to have appealed to their imagination. Possibly there were deeper religious reasons, a desire for rituals to take place within a spasce rather than on a stage, but such ideas aren't immutable. Hellenistic and Roman temples certainly took up the 'raised artificial structure with altar at the top' idea. They just never made the podium more central than the temple itself.
The other question is how much would be left of them if they had done that. Time and Christianity were unkind to Europe's great religious buildings.