Some of us are more ticklish than others, but nearly everyone is unable to tickle themselves. The answer is tied to how we see and how we perceive movement.
To get to the bottom of why we can't tickle ourselves, let's first examine another phenomenon. Close one eye, and then carefully push against the side of your other (open) eye, moving the eyeball from side to side in its socket. What do you see? It should appear as if the world is moving, even though you know it isn't.
Now put your hand down and scan your environment. Your eye moves in similar ways as when you pushed it, but the world remains stable. Clearly the visual information gathered by the eye is the same in both cases, with images drifting across the retina as the eye moves around, but your perception of how things were moving was only false when you poked your eye.
This is because when you move your eyes naturally, the brain sends motor commands to the eye muscles and, at the same time, something called an "efference copy" of the commands is sent to the visual system so that it can predict the sensory consequences of the movement. This allows the visual system to compensate for the changes on your retina due to the eyeball's motion and your brain knows that changes in the image (that look like things have moved) are in fact due to the eye's own movement.
So you're able to dart your eyes around the room, taking in every detail, without feeling like you're whizzing around like a wild hornet. When you poked your eye, no such prediction had been made, and so no compensation took place, resulting in weird motion perception.