The most logical answer is, as other users have said, that the Scouring of the Shire would have been too long and complicated an element to include at the end of a film that was already pretty damn long.
However, Peter Jackson did include the sequence within The Lord of the Rings films by using the Mirror of Galadriel.
The film-makers evidently made a decision at some stage not to feature Saruman and Wormtongue as characters following their demise at Isengard. The theatrical release of The Return of the King depicts Gimli, Aragorn, Legolas, Gandalf etc. travelling to Isengard, meeting up with Merry and Pippin and finding the Palantír. The extended DVD edition of the film clearly indicates that they had no intention of including Saruman or Wormtongue later in the film, or indeed the Scouring, as they shot this death scene with Wormtongue knifing Saruman in the back at Orthanc.
However, as @Omar Devon Little noted, the Scouring of the Shire does feature to some extent in the vision Frodo sees in the Mirror of Galadriel during The Fellowship of the Ring. Frodo sees orcs taking over the shire, attacking Hobbits with swords, enslaving Hobbits in chain gangs, burning things and turning the green landscape into a blackened wasteland.
In the books it is Sam who has the vision of the Shire:
But now Sam noticed that the Old Mill had vanished, and a large red-brick building was being put up where it had stood. Lots of folks were busily at work. There was a tall red chimney nearby. Black smoke seemed to cloud the surface of the Mirror.
"There's some devilry at work in the Shire," he said. "Elrond knew what he was about when he wanted to send Mr. Merry back."
The Fellowship of the Ring, Chapter 12, The Mirror of Galadriel
By the end of The Return of the King it's evident that Sam is indeed seeing an accurate depiction of what is happening/will happen with the Shire. Whether Jackson depicts this accurately in the film is another matter. There's no mention of orcs ransacking the Shire in the books; those who enforce Saruman's rule are Men who act as thugs (although The Scouring of the Shire has Merry slaying someone described as "the leader, a great squint-eyed brute like a huge orc"). And the hobbits seem to be kept in check with a mixture of heavy-handed threats and bureaucracy (no burning more than your fixed allocation of firewood each day!) rather than actual slavery. Nevertheless, in the Scouring the green landscape of the Shire does seem to be destroyed with fire and the tools of industry, as shown in the screenshot.
In conclusion, Jackson and the film-makers do indeed feature the Scouring. They do so by giving a nod to the events during Fellowship but (rightly in my view) decided that having a full-scale Hobbit war during Return of the King would be over-long and bad for pacing. As it is, the Mirror sequence in the film serves two purposes. Firstly, it foreshadows to Frodo the terrible things that may happen if he fails. Secondly, it hints very concisely at events which happened in the books but which Jackson didn't have time to include.
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