There are several possibilities. Plato might have written it and it just was lost; if so, it would have had to be very early on, since there is no record of it at all. Likewise, it's possible that Plato intended to write it, but was unable to do so for extrinsic reasons we do not and probably cannot ever know. If we set these aside, we get the following possibilities:
(1) Plato intended to write it, but in writing the other dialogues ran into some insuperable obstacle in how he set things up -- in essence painted himself into a corner.
(2) Plato did not intend to write it, as such, but did, in fact, write dialogues to fill its role.
(3) Plato did not intend to write it, but gave hints about it in order to get his readers thinking about the subject themselves.
One possible account that would yield any of these is given by Seth Bernadete in an article on the Sophist: what the Statesman seems to promise is a dialogue between Socrates and Socrates the Younger (258a). Now, the actual conversations throughout are dramatic -- done like plays -- and indications of whose part is whose are in practice quite minimal. Thus the Philosophos would apparently have to be an extended discussion between two characters, both of whom are named Socrates. This would be virtually impossible to do without changing the set-up considerably. (We even start running into this problem at the end of Statesman, since it ends with Socrates talking and we have to guess which Socrates it is based on which one would be likely to talk that way.) So it could be that Plato realized this belatedly (1); or it could be that he was deliberately signaling to the reader that the promised dialogue was actually impossible (2) and (3).
(3) obviously has a lot of attractions, whatever one's reasons for holdingit. As Mary Louise Gill notes:
If the Sophist and Statesman are philosophical exercises, there may be a good reason why the final dialogue of the trilogy, the Philosopher, is missing. Plato would spoil the lesson if he wrote it for us (cf. Dorter 1994, 236). If we have learned how to investigate philosophical problems in the Sophist and Statesman, Plato may be challenging his audience to search for the philosopher themselves, using the techniques and recommendations these dialogues provide.
On the other hand, (2) has some attractions, as well. After all, these are indictment dialogues, and we know that there are dialogues to come, concerned with the actual trial. So one could take all the rest of the Last Days dialogues as filling the role of a Philosophos dialogue, showing us the philosopher. This would be especially reasonable if you interpret the Sophist and the Statesman as constituting a kind of additional indictment of Socrates, as some do; we get this kind of interpretation, for instance, in Catherine Zuckert's Plato's Philosophers.
A related way to do (2) would be to take the approach of Bernard Suzanne, who suggests that we can see either all of Plato's dialogues, or some select series of them other than the Last Days dialogues as the missing Philosophos. As he puts it (last update June 6, 2009):
It is possible to look at the whole set of dialogues as constituting the Philosopher, that dialogue that was hinted at at the beginning of the Sophist (217a-b) and again at the beginning of the Statesman (257b-258a), but supposedly never written, or you might want to keep this title for the last tetralogy, which describes the trip back to the cave by showing us what it is to be a true philosopher-king :
first setting the goal, happiness for man in this world, in the introductory dialogue, the Philebus;
then telling us how each part of our soul can contribute to the task at hand: the sensitive part (epithumiai) by seeking in the contemplation (the "theorization", in the etymological meaning of the Greek word theôrein) of the created world's order (kosmos in Greek) a god given model for our own building of the city, in the Timaeus;
the willing part (thumos) by making the right choices with a trained judgment (krisis in Greek), and not relying on gods' renewed interventions to clean up men's mess, in the Critias, whose intentional incompleteness is a test of the reader's own judgment at the end of the journey;
and the reasonable part (logos) by drawing the Laws that will bring order to the city and happiness to its citizen, while the whole body and soul are on their way up toward the "cave" of Zeus, the god of gods.
This seems a little too clever by half, but it's an interesting idea.
My inclination is toward the version of (2) in which the remaining Last Days dialogues actually fulfill the Philosophos role. How about you? What's your non-reading of the Philosophos?