Why do full shell ions such as chloride form coordinate bonds, while noble gases do not?
Taking the general molecular orbital scheme of an octahedral complex — for the sake of discussion, let’s assume it to be $\ce{[FeCl6]^3-}$ — as shown in figure 1, there is an incentive for both the metal and the chlorides to undergo complex formation.


Figure 1: Molecular orbital scheme of an octahedral complex including &#x3c3; and &#x3c0; interactions from the ligands to the metal. Based on the schemes given by Professor Klüfers in his coordination chemistry course at the LMU Munich.

Complexing a metal is especially favourable for the ligands since they are able to lower their electrons’ energy levels significantly by forming dative &#x3c3; bonds — and in the cases of halides or other full shell ions, even the electrons in &#x3c0;-symmetric orbitals benefit a little by &#x3c0; forward-bonding.

Therefore, the question should better be rephrased as:


  Why are noble gases not known to form coordinate bonds?


Adding an electron to an atom means that all its orbitals are raised in energy: There is additional negative charge repulsing the electrons. This brings the energy levels of the valence electrons closer to those of the metal they are bonding with, and only for similar energy levels is the energy gain from interacting maximised. Note that electronegativity (that inversely correlates rather well with the energy level of the highest occupied orbital) rises from left to right across a period, so the noble gases have highest electronegativity and therefore the lowest valence energy levels. (The correct physical observable would be ionisation energy, but the same holds generally true for that.)

Therefore, the orbitals of noble gases should be substantially lower than those of halides, which are again notably lower than those of oxido/sulphido ligands. This gives a large energy difference between metal and potential ligand orbitals meaning that noble gases would easily be displaced by better ligands such as water.

However, I could imagine without having checked the literature that metals with high oxidation states may be able to be complexed by noble gases as their orbitals are again substantially lowered.