Well, polar molecules have a "built-in" energy problem, namely there is a charge separation. Remember that opposite charges will be attracted to one another. Within a polar molecule the partially charged ends are mechanically held apart, right? So in order to stabilize that charge separation the polar ends like to "stick" to other polar molecules so they can get oppositely charged ends closer together.
When you put a polar molecule in a non-polar solvent, the solvent can't provide these stabilizing intermolecular interactions, so the polar molecule has to "find" another polar molecule and when it does, they will clump together in order to stabilize one another. Since there is very minimal stabilization from the surrounding non-polar molecules, there is no energetic incentive for the two to mix to an appreciable amount.