Because he is just a kid and he knew that no one will believe him.
It has been shown in all movies of this franchise that no one believes what a kid says or can do. Like the cashier at the store where Kevin purchases stuff for booby trap, or the receptionist at the hotel in Home Alone 2, or the police chief in Home Alone 3.
Kevin is a kid who constantly gets into trouble and gets punished. If he tells anybody about that, they will think he is just joking or up to some mischief.
In the beginning of the movie, when a kid eats his pizza and he spills Pepsi on the table, his excuses are not heard and he gets punished.
Kevin: He started it! He ate my pizza on purpose. He knows I hate sausage and olives...
Uncle: Look what you did, you little jerk!
Mr. McCallister: Get upstairs now.