Here are three theories:
1. Elisabeth Moss was stuck in the lead actress category.
Moss was arguably the most likely to get a win as Peggy Olson, a character with an extremely powerful arc.
The first year Mad Men was eligible in 2008, AMC submitted Moss in the lead actress category, where she lost to Glenn Close in Damages. So the next year, they moved her to supporting and her colleague January Jones wound up taking her spot.
Even in the supporting category (up against costar Christina Hendricks) in 2009, Moss still lost to Archie Panjabi of The Good Wife. So AMC permanently moved her back to the leading actress race, where she was nominated every year but always lost - to Claire Danes (Homeland), Julianna Margulies (The Good Wife) or Viola Davis (How to Get Away With Murder). Ultimately, even if AMC didn't want her to compete against Hendricks - who was also nominated as supporting actress for the past six years - it may have done her a disservice to compete as a lead, especially when the competition was so tough. She had to go up against Danes and Margulies when their shows were both in their prime, making it even more difficult. But at least she fared better than Jones, who only got one nomination throughout the show's run.
2. The supporting actress category was no joke, either.
We can't forget Hendricks as Joan Holloway, who in the later seasons and during some very dramatic episodes, nearly took over the buzz for the show. She was nominated every year since 2009, yet over time lost to Anna Gunn (Breaking Bad), Margo Martindale (Justified), Maggie Smith (Downton Abbey) and this year, Aduba in a fairly groundbreaking role.
Although the lead actress category gets a lot of attention, this one also grew increasingly difficult over time. Plus, Breaking Bad became a breakout Emmys favourite just as Hendricks' character started to get more attention around 2012, which means that Hendricks may have been lost in the shuffle.
3. By the time the women started to get more attention, the show's goodwill was beginning to fade.
Joan and Peggy really hit their strides in later seasons, but that was just as Mad Men was starting to dip in overall critical acclaim. While some critics still loved the show, it was starting to lose some of that shiny prestige drama sheen - particularly around 2011, when lengthy contract negotiations between Matthew Weiner and AMC and Lionsgate delayed production.
In 2012, the first season of Homeland snapped Mad Men's four-year winning streak for best drama, and it never won again.
Even during its final victory lap, it's possible the much-shortened seasons affected voters' decisions - thanks to Season 7 being split in half, only seven episodes were submitted for contention in each Emmy cycle.