Not all birds like to bathe. They clean themselves by preening their feathers so you need not worry about it.
You can offer him a shallow dish of water regularly to see if he is interested.
Some budgies like to rub themselves against wet leaves to bathe -- clip wet kale leaves or romaine lettuce leaves to his cage to see if he is interested.
You can also use a clean spray bottle to mist him very lightly with water to see if he enjoys it. If not, then don't continue with misting him.