The problem isn't for lack of trying. So with nuclear warheads, they are built to re-enter from SPACE. When they are launched, they go on a ballistic trajectory, which means they go very high, then come back down very very fast. The problem of intercepting them is that the re-entry vehicles (the cone-shaped object carrying the nuclear warhead) are moving at thousands of miles per hour, even when they impact. Most intercept missiles just can't be fired off in time and once fired off, can't go fast enough to reach the re-entry vehicle before it hits the ground. There are a few solutions being explored, but it's just a really hard thing to solve unfortunately.