Sorry to (kindly) disagree with the explanation of Svetlina and Nadejda: Castles -and roads and airports and stadiums- are always built by the owners -kings, governments- of a country, not by the plain people! Now the question is not why the bulgarians didn't build castles (how could they!) but why the turkish didn't build castles in Bulgaria. Possible answer: they didn't build castles anywhere.

On the other hand, the pre Ottoman fortress in Veliko Tarnovo comes to my mind as an example of Castle in Bulgaria.