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In all the James Bond movies, we have seen several characters, such as M, Q, and Moneypenny, return as recurring characters, but not the Bond girls.
In Daniel Craig movies, it is clear what happened to them. Like in Casino Royale, Vesper dies in the end. But it's not clear in other James Bond movies before Daniel Craig's era. We saw James leaving with Bond girl in the end, but the girl never returns.
Why don't they come back? What happens to them?
First of all, James Bond is himself not much of a character for lasting relationships. The women, or "Bond girls", he comes across during his adventures are usually more "part of the adventure" for him than serious engagements persisting beyond his particular mission. While most of the films traditionally end with him getting intimate with the movie's love interest, it is largely clear that this is not the beginning of a long-lasting relationship. Women for Mr. Bond are, forgive me for saying that, largely "disposable" (and often literally die from their engagement with him), and this applies to the Bond girls from an out-of-universe perspective, too.
Alec Trevelyan (GoldenEye): ...Or if you find forgiveness in the arms of all those willing women for all the dead ones you failed to protect.
Miranda Frost (Die Another Day): I know all about you, 007. Sex for dinner, death for breakfast.
Vesper Lynd (Casino Royale): Now having just met you I wouldn't go as far as calling you a cold-hearted bastard...But it wouldn't be a stretch to imagine you think of women as disposable pleasures more than meaningful pursuits.
M (Casino Royale): I would ask you if you could remain emotionally detached, but I don't think that's your problem, is it, Bond?
Add to this that it's also often just part of his job and he is using those girls for his purposes rather than looking for an actual relationship.
James Bond (Thunderball): My dear girl, don't flatter yourself. What I did was for king and country. You don't think it gave me any pleasure, do you?
Solange (Casino Royale): I'm also afraid you will sleep with me in order to get to him.
M (Quantum of Solace): I mean, why her, Bond? She was just supposed to send you home. She worked in an office, collecting reports. Look how well your charm works, James. They'll do anything for you, won't they? How many is that now?
In this regard the Bond films are quite chauvinist/sexist, especially measured against our modern society (and are sometimes criticized for that), largely because of a tradition and character they keep up that started back in the 50s and 60s, which was admittedly a different time. They are basically men's fantasies (and we know true dudes don't bind themselves to a single woman ;-)). And even if this has loosened a little during later years, be that with Bond girls that turn out to be the villains behind everything (e.g. The World is Not Enough), or super spies who are female equals to him (e.g. Tomorrow Never Dies, Die Another Day), or women he doesn't actually have sex with (e.g. Quantum of Solace), it is still one of the most characteristic aspects of this character and the whole series. And the whole pop-cult around the Bond girls, starting with the title "Bond girl", is an expression of this admittedly chauvinistic tradition. James Bond just isn't a man for lasting relationships and we're supposed to forget those "girls" as fast as he does.
Add to this, that the Bond films actually never had much of a substantial continuity between them. There are even many strange theories trying to put some kind of story-wise continuity into the whole James Bond series (including the changing actors), because the filmmakers don't really care much about adhering to one in the first place (though, the Craig series tries to be a bit more coherent across movies in this regard). Therefore, apart from a few significant exceptions and the minor allusion now and then, you won't find many recurring connections between the various Bond films. It is true that many characters stay across the films, like M, Q, or Moneypenny. But those are all part of James Bond's constant background environment, while the Bond girls are merely part of his individual missions in each film.
In fact there are two instances where Bond does fall in love with the Bond girl and is even about to give up his job for her, 1969's On Her Majesty's Secret Service and 2006's Casino Royale. But both those relationships end tragically before the films end, putting him back into his womanizing self. (In the latter case the betrayal and disappointed love from Vesper Lynd is even supposed to be somewhat of an explanation for Bond's lack of trust in women.)
(It is worth mentioning, though, that while no Bond girl ever returned for a second film, there is at least one actress who returned as a different Bond girl in a later movie (without any in-universe connection between the characters, she just played a different role). Maud Adams played both Andrea in 1974's The Man With the Golden Gun and the eponymous mysterious smuggler in 1983's Octopussy.)
