One year I had the same problem and I did a very stupid thing and I threw the fudge in the garbage. Since your fudge didn't set up, don't throw it away but use the fudge as frosting. Bake a batch of chocolate brownies and frost them.
One thing that might cause it is to not beat it long enough...or perhaps you didn't drizzle the syrup slowly enough into the egg whites. Also, I recommend using a candy thermometer instead of relying on the "cold water" method that was used years ago. On occasion, I, too have had a batch that doesn't want to set up. I usually "fix" it by adding powdered sugar to the recipe until it will hold its shape and then spoon it out as usual.