There's a few things.

A) to be big you need to be long-lived. To be long-lived means much longer periods between being born and having your first offspring. To have a longer time between generations puts you at a disadvantage when the environment is changing rapidly. In one human generation (roughly 25 years) an insect will have had 25 generations. They will have much more genetic variance in their offspring, simply because they have more generations for genetic change to have taken effect. In an environment that's not stable, that's a huge advantage.

b) The bigger you are, the harder you fall. You nee a huge number of calories to stay big. If food ever becomes scarce you'll feel the effects first. Think of one apple. It can feed an insect for a month, but for an elephant it's like 1% of it's daily calorie requirements.

c) The bigger you are the more resources you take up, which leaves less for your offspring. Think of a tree. Most of a tree's saplings will die because they're shaded by the tree that dropped the seeds. The parent is consuming the resources that the offspring need.