Q. How come we have a Masechta dedicated to every Yom Tov including Purim (Megila) but there is no Talmud Gemara dedicated to Chanuka?
A. A number of reasons are quoted in Seforim, some of them are:
1) Chassam Soffer (Gittin 78a) mentions that since the mitzva of Chanuka was very beloved by all and very well known by all, it was seen as an unnecessary need.
2) Eretz Desheh explains that when Rab Yehudah Hanassi, compiled all Mishnayos, did so with the main intention that they will not be forgotten. However, Chanuka was so close that this seemed then still unlikely (Hamaor 71, v. 3)
3) The heroes of the Chanukah story were from the the Hashmonean family, who had defeated the Greeks and restored Jewish independence to Eretz Yisroel. However, after their victory, they decided to establish a monarchy. This was problematic because the Hasmoneans were of Shevet Levy, and Hashem had already promised that only the descendants of Dovid Hamelech (from the tribe of Judah) may be appointed to the throne (see Shmuel 2: 7:12–15). That being so, Rebi Yehuda Nanossi, a scion of the Davidic dynasty, chose not to emphasize their victory—and subsequent usurpation of power—in his compilation of the Mishnah.
4) The early authorities sensed that the Hasmonean victories had already lost their luster by the Mishnaic period. Abudraham claims that while the Hasmoneans were initially pious, they sinned by making themselves the rulers of the Jewish state, an office not to be assumed by a priestly family, As Kohanim, the Hasmoneans had no right to take the royal sceptre into their hands. (Abudraham Hasholem, p. 201).
Rabbi A. Bartfeld as revised by Horav Dovid Pam, Horav Aharon Miller and Horav Chanoch Ehrentreu Shlit'a