The reasons are obvious. Firstly, Lennie does not have the mental capacity or the emotional maturity to understand the purpose of visiting such a place. Furthermore, because of his poor intellect, he would not need to go to a place such as Susy's. he is essentially still a child, and Susy's a place for grown men. Lennie is entertained by the simplest of things, such as stroking the puppy he had received The men go there to break the monotony of their routine lives and to have a bit of fun. Alcohol is sold in the saloon and there are girls who make themselves available to them.
Lennie obviously does not need alcohol, there is no reference to the fact that he has ever drunk liquor. As far as the other forms of entertainment are concerned, Lennie would obviously not know how to cope in such situations. He had already gotten into trouble at a previous occasion when he could not let go of a girl's dress, which got her into a panic. He and George were then forced to run away from the ranch since it was believed that Lennie had physically abused her.
George would obviously want to avoid a recurrence of such an incident. He does not wish to jeopardise his and Lennie's positions on the ranch. The two of them, with Candy included later, had already formulated a plan for their futures. If Lennie should be at Susy's and mess up, as it were, their plans could be ruined. It was therefore too great a risk for Lennie to tag along.
Over and above these considerations, George had also planned to scrimp and save as much as possible so that they may buy the property they had set their hearts to acquiring. He was not even prepared to spend as much as two dollars fifty on himself, let alone wasting extra money on Lennie, if he should go. As he says:
"Me an' Lennie's rollin' up a stake,"... "I might go in an' set and have a shot, but I ain't puttin' out no two and a half."