There's no fundamental limitation of .NET that stops functors from being implemented in F#. True, they can't be represented directly in .NET metadata, but neither can other F# language features like union types. Compilers for languages with functors (e.g., Standard ML, OCaml) have a pass called defunctorize; it works just like C++ template expansion, in that it "flattens" the functors by specializing them into normal modules.
The F# compiler could do the same thing, but you then have to ask: how will this be exposed to other .NET languages? Since functors can't be directly encoded in the .NET type system, you'd need to come up with some way to represent them; and if that representation is difficult/impossible to use from C# or VB.NET, would it still make sense to include F# functors? A non-trivial part of F#'s success comes from it's ability to easily interop (in both directions) with C# and VB.NET.
EDIT: Don't get me wrong -- I'd love to have functors in F#, they'd be really useful to handle a few cases which are currently painful and/or impossible to implement without them. I'm just pointing out that the main reason the language doesn't yet (and maybe won't ever) have functors is that the interop issue hasn't been solved; the metadata-encoding issue is actually the easy part.
EDIT 2: Code for the defunctorize pass of MLton: defunctorize.fun
Update: I had a thought about how functors actually could be expressed within the .NET type system, so I put together a little experiment. It isn't pretty, but it works -- so now we know it's at least plausible that F# could one day support functors. In practice, the complexity you see in my experimental code would all be hidden by the compiler/language. If you want to check it out: experimental-functors
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