Wald has a good discussion of this in section 11.2.
The Newtonian gravitational energy density goes like the square of the gravitational field. But the equivalence principle guarantees that locally, there are always coordinates such that the gravitational field, and therefore the Newtonian gravitational energy density, is zero. A tensor that's zero in one set of coordinates is zero in all other coordinates, so we can't have a gravitational energy density that's a tensor and that reduces to the Newtonian version in the appropriate limit, unless it vanishes identically.
Another way of putting this is that the Newtonian expression is basically the square of the gradient of the time-time component of the metric. To make this into a tensor, we'd have to do something involving a covariant derivative of the metric. But the covariant derivative is defined exactly so that it gives zero when it acts on the metric.
Yet another way of getting at this is that you have to think about definitional issues. The mass-energy density of, say, hydrogen gas is something that I can measure locally with laboratory instruments. But the energy density of a gravitational wave isn't something we can measure locally. It's not possible to measure it, even in principle, because to measure a form of energy you have to be able to exchange it for some other form of energy. But the zero-divergence property of the stress-energy tensor says that the things that we ordinarily consider to be forms of mass-energy, i.e., the mass-energy tied up in matter fields, *can't* be locally traded in for anything else.
All of these arguments fail when you try to apply them non-locally, and that's we we can observe mechanical energy being lost from the Hulse-Taylor pulsar into gravitational waves.