At least on Twitter, according to the pope's "social media guy," Monsignor Paul Tighe:
Why doesn’t the Pope follow anyone?
The choice between following and not following was partly because we noticed the Dalai Lama didn’t follow anyone. How do you decide who do you follow? That’s one reason why Facebook (FB), where you have to consciously decide who is and who isn’t a friend, wouldn’t be the best medium. We could have looked at following cardinals and bishops but then what?