Do alkali metals not form diatomic molecules?
Diatomic molecules of alkali metals are detected in the gas phase. However, it's so happens that the bond in them is very weak and at the temperature the alkali metal vapors develop only a few percents of the metal in the vapors exists as diatomic molecules. It so happens, that metal bonding allows to achieve an overall more energetically favored state.

Outer orbitals of the alkali metal atoms are very diffuse, so their bonds are weak. Only Lithium, the smallest of the alkali metals, has practically meaningful covalent chemistry to speak of.