The evidence shows that interbreeding happened during initial contact between neanderthals and the colonists from Africa, but then stopped for the rest of the long period of living side by side.
Could this be the first example of a form of racism taking place in human history?
Anthropologist note that dietary restrictions are means in which two populations of the same tribe can make themselves distinct from one another, when one stops eating the pigs of shellfish that they once did along with the other members of that tribe. Without a common table, there is no longer a common tribe.
Perhaps the same kind of cultural restrictions developed against the neanderthal or vice versa, in order that the interbreeding be curtailed.
Of course, for no interbreeding to have happened, that would mean that no wars between the groups would have happened either, because rape is always an aspect of war.
What has been noted about Europeans though, such as the Teutonic wars against the Slavs, is that the wars have tended toward being genocidal. Perhaps this is a very ancient tradition indeed, and would be one explanation of why no further interbreeding would have taken place. Genocidal warfare would have prevented that.