Adding a new member to The Shield at this point wouldn't be wise. They'e done literally everything you can do as a group already - they've won championships and went over just about every trio of three men that you can possibly go over, what's the point of doing all of it over again only with a new member in Rollins' place? After the perfect chemistry that Ambrose, Rollins and Reigns have had with one another for so long, trying to duplicate the group with anyone else this late in the game would practically be guaranteed to fail.
Plus, when the day comes for The Shield to reunite for a short period of time (like a lot of popular stables do... NWO, D-Generation X, Evolution, etc.), you want it to be just with those original three and not with anyone else.
All good things come to an end and it's time for these three to go off onto their own separate paths and carve out a career for themselves as singles competitors. Rollins is already on his way there, and Reigns and Ambrose will be soon enough.