They did. They've been trying to get Trump to return the documents he stole for over a year, by way of less spectacular means.
The problem is that even after those less spectacular means were used, a confidential informant told the government that Trump was not just holding onto documents he wasn't supposed to have, but that those included highly classified documents. Trump responded to inquiries about those by lying -- insisting he had no such records. So, they got a warrant and did a search, and it turns out that he did, indeed, have classified records -- including one set of documents marked to indicate they were so sensitive that even those with Top Secret clearance weren't allowed to see them, unless they were cleared for that particular compartmentalized kind of top secret information.
"Less spectacular means" don't work when the crook insists on stonewalling them. At some point they gave up on hoping Trump could be politely talked into obeying the law, and they got a warrant for a search of his business. Trump's supporters were hoping that the search would come up empty, since that would suggest something was wrong with the information telling the FBI of the crime, but we now know the information was correct.