And their colony failed. The Spanish, Portuguese, English and French colonies in the New World succeeded because the governments that ran those colonies backed them financially and militarily. At least in the case of the English, owners/shareholders of colonials often received economic monopolies, giving them substantial impetus to make colonies economically viable in fairly short order.
And even though colonies could obviously become self-sustaining in pretty short order, they still required a significant amount of protection from the colonial power, and the colonial powers served as the route to accessing markets.
The Vikings experiments in colonization as private endeavors were mixed successes at best, and ultimately only Iceland survived as a successful colonial enterprise by the early Modern era, with the North American and Greenland colonies failing (though the Greenland colony did manage to hang on for several centuries).
There are probably any number of reasons; less than hospitable sites for colonization that were vulnerable to climactic changes at the top, but also the more limited means of making such colonies economically viable. At least in the North American attempts, the native peoples may have played a roll as well. The Norse simply didn't have the resources at their disposal that the Colonial Powers could bring to bear when they started seizing the New World. The Norse were hardly better equipped than the Inuit and Native Americans they encountered, whereas the Spaniards, French and English had firearms and much larger numbers.