The thing is that they did come back for conquest in the 2nd invasion of Hungary and the 3rd invasion of Poland (1285,1287),only to be defeated en detail by these 2 countries and had to turn back with their battered armies.
Another thing that happenned is ,that even in the first invasion of Hungary ,the Mongols couldn't conquer ONE of the only 10 Hungarian stone castles.Western Europe had hundreds upon hundreds of stone castles.This combined with forested areea made the supreme Mongol weapon (mobility) useless.Another detail is the Battle of Mohi against the Hungarians,which the Mongols won but at great losses and with its outcome in doubt at a certain point .Crossbowmen and knights prooved effective against the Mongols but the Hungarians had very few of those 2 at Mohi unlike the armies of the Holy Roman Empire,France,Italian states,etc.When they improoved ,the Hungarians routed the Mongols 40 years later.
You will say that the Mongols conquered the Jin with formidable castles but their home base was much closer.Or the Southern Song,whose territory was much more forested that N China but here the Mongols had a solid supply base and Chinese foot manpower from N China.These resources weren't available in their Eastern European domains towards a Western conquest.
On top of this ,Chinese states had a central power base,Mongols went for the throat,captured the capital ,killed the leader,took the country.Europe was much more feudal,with hundreds of castles and leaders.The forrests,the mountains,the hills made a besieging nomad army like the Mongol one very vulnerable,especially if they were heavily outnumbered.Even if they scored victory after victory,their manpower would deplete while Europe could throw more and more at them.And they still couldn't cut the head of the snake.Take their killing of Polish Duke Henry at Legniza and their subsequent attempt to intimidate his subjects who were fighting on in the castle:
"Then, impaling Prince Henry's head on a long lance, they [the Mongols] approach the castle at Legnica ... and display it for those inside to see, calling upon them ... to open the gates. The defenders refuse, telling them that they have several other dukes, sons of good duke Henry, besides Henry."
Last but not lest,the Hungarian army at Mohi,as I've said ,inferior in quality to a Western one,defeated and decimated,still made it out from a Mongol encirclement by a fighting retreat (which was one of the few instances an army did that to the Mongols without being cut to the man) and so,king Bela managed to escape.