This game is awesome, the only shooter I've ever played that actually interests me. I grew-up playing contra and the old school nes/arcade games. Why did this game not sell? I don't think anyone knew much about it.
Because SEGA, like the man said.
Specifically releasing it the same day as Fallout: New Vegas, right at the start of the holiday crazy season. Had they let the team work on the game another 3 months and released in January or February, it would've done much better, in my opinion.
Also, as to not put all the blame on SEGA; the game is pretty short, the weapons upgrade mechanic is pretty weird, there is no upgrade mechanic for the suit, no new game plus, and no multiplayer (which I don't care about). It takes a fine eye to see how sublime Vanquish is as just a pure shooter, and most of the press was happy to rip through it in under 6 hours, slap a 7.5 on it and move onto the next thing during the holiday rush.