I have two main reasons why I don't complete games. The first is that some games are simply too long for me. I have this reaction to a lot of big, open-world games. I just don't want to sink 50-100 hours into one game.
The second is that I don't like the gameplay enough to continue. This can be for a variety of reasons - maybe I find the gameplay boring, the combat too difficult, the cinematics too lengthy, the writing lousy, or the mechanics aggravating. Usually, I can figure this out within the first few hours, although sometimes it takes me half the game. On occasion, I will bail during the last level, because the developers have decided to suddenly crank the difficulty from 5 up to 9 in order to create a "challenging" (frustrating) finish. After I die a dozen times, I say fuck it and watch the last chapter on Youtube.
For some people, finishing a game is a matter of pride, and bailing out is a mark of dishonor. I'm not that way. For me, a game should entertain me or engage my interest. If it's not doing that, then I'm moving on. Life's too short to spend my free, leisure time doing things I don't enjoy.