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Several reasons; they weren't looking for them, and they were limited by the available technology.
One of the biggest problems with learning about atoms is that they're simply too small for their existence to be obvious to us, especially without the right kinds of tools. The idea of atoms, basically as indivisible units of matter, has been independently suggested at various times throughout history, but generally rejected either for lack of empirical evidence, contradiction with established doctrine, or some combination of both. Given the historical context and the scientific method itself, it does seem reasonable from a certain perspective for atoms to be rejected as a theory when it was impossible to provide evidence for their existence even if one attempted to do so.
Possibly the first, and only feasible, evidence for the existence of atoms comes through what we now call Brownian motion; the observation that very small particles suspended in a fluid will exhibit small non-linear motions which cause them to move in apparently random ways, due to collisions with invisible atoms. There is no analogue in the macroscopic world.
Actually visualizing an atom is also extremely difficult, and the technology to do so has only existed and produced a result within the last 5 years(!). Most of the evidence for atoms comes from experiments which observe their effects, rather than visualizing them directly.
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