Most immigrants to the United States did naturalize after they had been in the United States for some time. Some never naturalized, which would explain the lack of a naturalization record. Some naturalized before 1906 when any court of record could naturalize and if you don't know where your ancestor resided for every moment of his life, you might not locate the record. And others may have thought they were naturalized by their father's naturalization and that they did not need to naturalize themselves.
Keep in mind that especially before the 1920s, naturalization laws were confusing to many. One of those confused might have been your ancestor.