That's because publisher Atlus has no plans for a European release — but it's not for the want of trying. According to the publisher, there are currently no plans because the publisher is in need of a distribution partner. Previous Atlus titles such as Persona 4 and 3D Dot Game Heroes were distributed by Square Enix and SouthPeak in Europe, so it's not out of the realms of possibility. In fact, given the buzz around Catherine we're almost certain it will release in Europe — the problem is, you're going to have to wait.
In the mean time, you can import the game for a reasonable price from a variety of US outlets. It was mighty kind of Sony to keep the PS3 region-free, huh?