Given the claims in this article that there was plenty of intelligence gathered about an impending attack and that the Marshall's Service was specifically being targeted for their 'trespas' on the Quran there would be no need to take credit for it. The intended targets, the Marshall's Service and the U.S. Gov., knew who did it.
One possible reason the perpetrators wouldn't want public credit is because it would require public support for the Gov. to make a significant response. Apparently our Gov. didn't want to generate any such support. They went out of their way to deflect any blame from ME sources right from day one. I remember that watching the story unfold on network TV that day.
How did our Gov. know so quickly and so certainly that there was no ME connection to it? At the time almost everyone immediately thought of ME terrorists. It was a logical conclusion. They had McVeigh within a few hours and the Gov. seemed to go out of its way to not investigate it at all. They cordoned off the area, rescued the survivors, pulled out the bodies and proceeded to demolish the remains of the building and cart off every cubic centimeter of it in record time. The way that outside investigation was brushed off and harrassed seems puzzling to me at the very least. There are more than just a few weird stories along those lines.