I can only think of Zola that has actually been a success over here.
Vialli
Vieira and Henry, in a slightly more roundabout way.
Carbone and Di Canio weren't *bad* ...
I'm sure there's more.
I think its perhaps a lot to do with culture - Italians prefer to stay in a warmer country with a similar lifestyle - so if they move out of Italy, they're more likely to head to Spain or France.