Unlike most (current) lines in the UK, the Tattenham Corner branch was a very late arrival, with the Croydon end of the line opening in stages from 1897 and not reaching Tattenham Corner until 1901. Perhaps by this time the population growth from the Epsom Downs branch had taken effect, meaning a lack of land to connect the two, as I would assume had they both been built when the land would still have been rural in the 1870s they would have had free reign over the area. Another factor perhaps could be that they were built by different companies, Epsom Downs was the London, Brighton & South Coast Rly; Tattenham Corner started out as the Chipstead Valley which by completion had been absorbed by the South Eastern & Chatham Rly. I'm not sure of pre-nationalisation relations, but maybe they didn't want to connect with each other?
Any chance of it occurring died one final death however when the old Epson Downs station was resited northwards in 1989 (the branch was singled in 1984 IIRC) and the end of the line truncated by 1/5 of a mile or so (300m). A housing estate was built on that abandoned land and as such that would now mean any join between the two would need near a hundred buildings and numerous 30 year old streets knocking down!
(Extra pointless info, pre-1972 Downs had 9 platforms, reduced to just two (the old 4 and 5) for its final 17 years.)