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What recipe did you follow? I made strawberry curd today and it likewise did not set. Fruit was too wet, I think.
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Did you cook it long enough? It should reach 175 degrees, coating the back of the spoon, you know the test I'm sure. I have made cream or curd from different types of fruits and berries and stick to the same basic proportions as the original recipe but cooking it long enough is key IMHO.
Use a candy thermometer when making curd. If it's not thick enough, adjust your heat to keep it between 170F and 175F for a longer period, stirring all the while. It will thicken.
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