A single Chinese province would have been too much for a European colonial power. The population of this Chinese colony would have outnumbered the occupying force. And that is just a piece of the iceberg for the colonialists wouldn’t be facing just the population of the colony but all of China which they've had their own version of nationalism a lot longer then Europeans had theirs.
And finally Europe did not want to cut up China into pieces. The British, French, Russians, and Germans (and Japanese, but I think calling Japan a European nation, well you get the idea) were content with having spheres of influence. I think it was because things were more profitable this way.