Because the Krew (as it is called) all were constantly doing their own thing. Korra was trying to be an Avatar and train, Mako was working his way into and upward within law enforcement, Bolin was trying to find purpose in his own life, and Asami was patching up the shambles of her dad's company and then had to run it.
They traveled together when their interests aligned, and they were close enough to trust each other. It's not really that big of a deal that they weren't nearly as close as other groups, especially not one that's constantly together because of a long journey (Aang's group, for example). It's not really that big of a deal that they weren't the closest. They were close enough to matter to each other and that was about it.