Harry needs someone who can challenge him maybe even compete with him in some ways. Luna is not that type of character. I think Harry would feel too protective of Luna and wouldn't respect her enough to fall for her. Don't get me wrong I think he does have respect for her, just not enough to start a romance with her.

And as for her and Neville, well I agree with what JKR herself said, "Neville would be a bit too alarmed by her more outlandish flights of fancy." I can definitely see her with someone like Collin Creevey though.