Why no sequel?

What would the sequel be about? Maximus and Commodus are both dead.

There actually was some talk of making a sequel not long after the film won its Oscars (and yes, it was a huge hit financially). There were a couple of ideas thrown around but none (obviously) ever took off.

This is what Wikipedia said:

In June 2001, Douglas Wick said a Gladiator prequel was in development.[89] The following year, Wick, Walter Parkes, David Franzoni, and John Logan switched direction to a sequel set fifteen years later;[90] the Praetorian Guards rule Rome and an older Lucius is trying to learn who his real father was. However, Russell Crowe was interested in resurrecting Maximus, and further researched Roman beliefs about the afterlife to accomplish this.[91] Ridley Scott expressed interest, although he admitted the project would have to be retitled as it had little to do with gladiators.[92] An easter egg contained on disc 2 of the extended edition / special edition DVD releases includes a discussion of possible scenarios for a follow-up. This includes a suggestion by Walter F. Parkes that, in order to enable Russell Crowe to return to play Maximus, who dies at the end of the original movie, a sequel could involve a "multi-generational drama about Maximus and the Aureleans and this chapter of Rome", similar in concept to The Godfather Part II.

In 2006, Scott stated he and Crowe approached Nick Cave to rewrite the film, but their ideas conflicted with DreamWorks's idea of a spin-off involving Lucius, whom Scott revealed would turn out to be Maximus's son with Lucilla. Scott noted that a tale of corruption in Rome was too complex, whereas Gladiator worked due to its simple drive.[93] In 2009, details of Cave's ultimately-rejected script surfaced on the internet: the script having Maximus being reincarnated by the Roman gods and returned to Rome to defend Christians against persecution; then transported to other important periods in history, including World War II, the Vietnam War, and finally being a general in the modern-day Pentagon. This script for a sequel, however, was rejected as being too far-fetched, and not in keeping with the spirit and theme of the original film.