Question

why He2 is not formed?

Answer 1

Because He is an inert gas, which means it won't react.
And as per the Molecular Orbital Theory, the bond order tells us about equivalent number of bonds a compound make. Applying this theory in He2, the 
Bond order=
(No. Of Bonding electrons-No. Of Anti Bonding electrons)/2
=0
This means there's no bond in He2, which concludes it doesn't exists.