There is no financial or functional benefit to doing so. Roads (along with bridges and tunnels) are needed for routes that are regularly traveled. This comes with financial benefit - goods being transported, people going to/from work or to/from places to spend the money earned at work, etc.
Ground transport by truck isn't as efficient as barge transportation for long distances. Even trains can't compete with barges. Very, very few people are regularly commuting across an ocean for work, and airplanes are a thing that exists. And while tourism is a big industry, people don't want to spend the bulk of a vacation sitting in the car.
Planning to drive from NY to London? That's 3,500 miles - more than 40 hours of driving. Where are you going to fill up 8 times in the middle of the Atlantic? Buy food? Sleep?
How do you propose to finance such a project? A complex bridge often has construction costs in the neighborhood of $500 per square foot of roadway. A bridge crossing a major ocean could be double that. Say we've got 4 lanes (standard, 12' wide), plus a 12' shoulder on each side (for breakdowns), and throw in another 3' for a median barrier for safety, giving a total width of 75'. That's 396,000 square feet of roadway per mile. Over 3,500 miles, at a cost of $1,000 per square foot, that's $1.4 trillion.