Matthew Henry:
2. He had told them what hard times they must suffer when he was gone, and that they must not expect such an easy quiet life as they had had. Now, if these were the legacies he had to leave to them, who had left all for him, they would be tempted to think they had made a sorry bargain of it, and were, for the present, in a consternation about it, in which their master sympathizes with them, yet blames them, (1.) That they were careless of the means of comfort, and did not stir up themselves to seek it: None of you asks me, Whither goest thou? Peter had started this question (Joh_13:36), and Thomas had seconded it (Joh_14:5), but they did not pursue it, they did not take the answer; they were in the dark concerning it, and did not enquire further, nor seek for fuller satisfaction; they did not continue seeking, continue knocking.
Adam Clarke's take (the apostles were often preoccupied with their own sorrow):
Joh 16:5
None of you asketh me, Whither goest thou? - In Joh_13:3, Peter had asked, Lord, thither goest thou? - and Thomas much the same in Joh_14:5, both of whom had received an answer. But now, at the time when Jesus was speaking this, none of them asked this question, because their hearts were filled with sorrow: Joh_16:6.
3 other commentaries, including Calvin's, suggest that the apostles had indeed inquired before, but more importantly, they never considered the bigger picture, the importance of what Christ must go to do...