As noted in another answer, the reference also appears in Luke (11:32):
And when the people were gathered thick together, he began to say, This is an evil generation: they seek a sign; and there shall no sign be given it, but the sign of Jonas the prophet. For as Jonas was a sign unto the Ninevites, so shall also the Son of man be to this generation. The queen of the south shall rise up in the judgment with the men of this generation, and condemn them: for she came from the utmost parts of the earth to hear the wisdom of Solomon; and, behold, a greater than Solomon is here. The men of Nineve shall rise up in the judgment with this generation, and shall condemn it: for they repented at the preaching of Jonas; and, behold, a greater than Jonas is here.
The full passage from Matthew (12:39-42):
But he answered and said unto them, An evil and adulterous generation seeketh after a sign; and there shall no sign be given to it, but the sign of the prophet Jonas: For as Jonas was three days and three nights in the whale’s belly; so shall the Son of man be three days and three nights in the heart of the earth. The men of Nineveh shall rise in judgment with this generation, and shall condemn it: because they repented at the preaching of Jonas; and, behold, a greater than Jonas is here. The queen of the south shall rise up in the judgment with this generation, and shall condemn it: for she came from the uttermost parts of the earth to hear the wisdom of Solomon; and, behold, a greater than Solomon is here.
The question asks why, if so many miracles are recounted in the Gospel, do the Evangelists state here that Jesus said there shall be no sign given.
In both accounts, Jesus responds to requests made in malice:
Then certain of the scribes and of the Pharisees answered, saying, Master, we would see a sign from thee (Matthew 12:38)
And others, tempting him, sought of him a sign from heaven (Luke 11:16)
Jesus is not saying that He will not perform other miracles, but rather that none of these would result in the evil (and adulterous) believing in Him. As Cyril of Alexandria (378-444) recalls in his explanation of Luke's passage1:
The wicked shall seek me but shall not find me (Proverbs 1:28 LXX).
John Chrysostom (d.407), commenting on Matthew's passage, explains that other signs were, in fact, given, but that these were for the sake of others and not those whose hearts were hardened:
What then? one may say; was no sign given it? None was given to it on asking. For not to bring in them did He work His signs (for He knew them to be hardened), but in order to amend others. Either then this may be said, or that they were not to receive such a sign as that was. For a sign did befall them, when by their own punishment they learnt His power. Here then He speaks as threatening, and with this very meaning obscurely conveyed: as if He said, innumerable benefits have I showed forth, none of these hath drawn you to me, neither were ye willing to adore my power.2
1. Sermon LXXXII on Luke (tr. from Syriac)
2. Homily XLIII on Matthew (tr. from Greek; in Nicene and Post-Nicene Fathers, 1.10)