I'd venture a guess that the amount of direct LI-CT traffic is very small compared to the direct commute into NYC itself; at this point -- with the residential costs endemic to the whole region -- that there's not a lot of commute needs between central/outer LI and CT; no crossing concept would pass a C/B analysis. In addition to this, there's not a location for the crossing that would not exacerbate congestion on at least one side of the Sound; a crossing closer to NYC (let's say around Sea Cliff) would require a morning westbound ride within LI in conjunction with the major directional commute, adding to that load (and the traffic once in CT would fan out in multiple directions, some of it further adding to that weekday congestion). An outer crossing (hitting CT east of New Haven) might avoid those issues in LI but definitely add them in CT -- not to mention requiring additional costs of a longer bridge/tunnel facility and an out-of-the-way commute. Any such crossing would likely cause more problems than it solves!
Now -- if it were a commuter rail crossing connecting LIRR with Metro North, that might be another story -- but that wouldn't let the Hampton and Darien folks who'd rather use their Benzes and Range Rovers avoid the gaucheness of public transit.