One reason I've read is that the Church, a major player in Italian politics and culture, threw an absolute hissy fit over having to give up the Papal States to King Victor Emmanuel's control. Pius IX locked himself in the Vatican and claimed he was a prisoner leading to a lot of division and turmoil not only among Italy's heavily Catholic population but with Catholics worldwide. It was Mussolini who eventually signed an agreement with the Church to create Vatican City and essentially making it a country within a country.