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The most relevant reason is that most 'serious concerns' about Russian nuclear use are Westerner media projections, not Russian claims or actual threats. Russia does have a nuclear use doctrine, and 'use in case of battlefield setbacks' isn't a part of it. Russian nuclear doctrine is far more of 'deterrence or survival of state' thresholds, which last year's defeats were nowhere close to.
Now, Russia has regularly tried to stoke / exploit such fears for diplomatic / negotiation leverage, and that was probably a consideration in the annexation announcement late last year, but in the Putin era Russia doesn't make nuclear threats or nuclear bluffs, it simply publicizes some nuclear alert level or nuclear-capable missile (ie, a missile) and let's the west project whatever it will. This sort of bluff-that-isn't-made is entirely dependent on the audience caring, however, and if they don't, then escalating threats- even a demonstration test- just underscores that your bluff has been called and you are not, in fact, nuking the other party.
At which point, escalating threats diminishes your position, and credibility. No one would be surprised if Russia could detonate a nuclear weapon on its own territory. They've had the ability to do that for generations. Nuking yourself instead of the enemy after they go 'we're not afraid of you' doesn't make them afraid of you.
Now, there are other aspects as well, such as 'why not do a demonstration test in Ukraine?' Aside from the above, foreign pressures applied as well. In so much that it would be an escalation, it's not an escalation any of Russia's key foreign partners is interested in supporting. The likes of China and India are already generally relating 'support' to 'not joining on the European sanctions', but they also have their own very real nuclear proliferation concerns in their neighborhood. If Russia WERE to attempt nuclear blackmail, actually succeeding would be very bad for the strategic interests of most of their partners- China could see Japan, South Korea, and Taiwan go nuclear within a year, India has always had Pakistan and it's regional proliferation risks, and even actual-supporter Iran could see Saudi go nuclear. No one for whom nuclear proliferation is a regional concern wants Russia to facilitate it.
There's also a less academic, but also less provable, third option, which was that the Americans and British threatened a conventional intervention in Ukraine if Russia used nukes in Ukraine.
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