Why doesn't Oxygen form coordinate covalent bonds?
Oxygen very much does form bonds in which both electrons come from the oxygen atom.  Examples include:

1.
The $\ce{H3O^+}$ ion at the center of the solvated proton in aqueous acids, also available as salts of some of the strongest acids such as $\ce{(H3O)(ClO4)}$

2.
Carbon monoxide, with its triple rather than double bond.

3.
Ozone, in which the oxygen atoms form a bent chain and one of the three bonds must have both electrons coming from the middle atom.  The resulting charge separation makes ozone one of the few one-element substances with a nonzero dipole moment.