Amazon is missing the entire last-mile delivery pipeline apart from some shared boxes and jokes about quadcopter delivery.

Also, Google Express is way ahead given the number of trucks and cars going about from Costco and other local merchants, which is coming at Amazon from the other side.

Building it would effectively be starting from scratch and competing with FedEx, UPS, DHL and everyone else. And if it doesn't work, they'll be stuck with capital tied up in it.

Further, it's going to take a long time and a LOT of capital, and it still might not work AND still not be any better/cheaper, whereas FedEx is a known quantity that works. FedEx has a lot more experience than just delivery: it does lot of logistics and emergency logistics outsourcing for a lot of companies... and it would still be viable revenue if Amazon controlled them.