They'll try, though it's a fairly low priority for them right now.
If you look at what they are doing, it's a two pronged attack - the main thrust is taking and holding territory (or destroying what they can't hold on the salted earth principal) but shit stirring around the edges to keep the big boys distracted is also used. Targeted attacks of opportunity in Yemen, Nigeria, Libya, Pakistan, Afghanistan are not to expand their caliphate - it's to keep Saudi, Egypt, Iran, Israel, Jordan and the West off balance WHILE they dig in.
An attack on a large Western power is certainly on the cards, but it'll be like Boston, not 9/11. Home grown terrorists with no real connection to the bosses in charge.