I found from Wikipedia and other sites that there are no GRBs detected in the Milky Way. Can someone give a feasible reason for that? Why are there no GRBs detected in the Milky Way galaxy?
All models of gamma-ray bursts involve extremely energetic phenomena: particular types of supernovae, the coalescence of binary compact objects, strong magnetar flares, or tidal disruption events. It turns out that these events are quite rare - so rare, in fact, that GRBs would be expected to occur in a low-redshift Milky Way-like galaxy at a rate of only one every few million or tens of millions of years (Zhang & Meszaros 2003). If the Milky Way was undergoing a period of intense star formation, yielding more massive stars and therefore more supernovae, then this rate would go up, but still not significantly. Bear in mind that the Galactic supernova rate, for example, is believed to be only several supernovae per century, and the vast majority of supernovae don't lead to gamma-ray bursts.
We know of many extragalactic GRBs for several reasons. It helps that we can observe large numbers of galaxies (thanks to how bright the bursts are), and if we could look at millions of Milky Way-like galaxies, it wouldn't be surprising if we could detect $\sim$1 event per year. (There's also the advantage that star formation peaked at a redshift $z\sim2$, and so high-redshift objects would be more likely to produce more GRBs!)