Why fuse is not connected in neutral wire?

Because the neutral wire only carries unbalanced currents. The hot wire carries full load currents.

Answer for European Systems
The above answer is only true for three-phase systems. In single-phase systems, the neutral carries exactly the same current as the line conductor.

The reason for not placing the fuse in the neutral conductor is one of safety. For example, if the fuse were to blow due to, say, an overload current, then although no current could flow, the entire conductor would remain live and highly dangerous.