Noble gases do not form compounds because their full valence shells make them stable and chemically nonreactive. Atoms form compounds to achieve a full valence shell that leaves them more stable.
Atoms form compounds by losing, sharing or gaining electrons. The ultimate goal is to have a full valence shell. Noble gases are unmotivated to lose, gain or share electrons because they already have all the electrons required to be stable.
One exception that does form compounds is the noble gas xenon. Xenon can react with fluorine and oxygen in a process known as oxidation to form new molecular compounds. Radon, another noble gas, can also react with fluorine.