Let's begin by defining what a cross product is supposed to be. A cross product is a function
\times:\mathbb{R}^n\times\mathbb{R}^n\rightarrow\mathbb{R}^n
such that
1) ##\times## is bilinear
2) ##\mathbf{x}\cdot (\mathbf{x}\times\mathbf{y}) = (\mathbf{x}\times \mathbf{y})\cdot\mathbf{y} = 0##
3) ##|\mathbf{x}\times\mathbf{y}|^2 = |\mathbf{x}|^2|\mathbf{y}|^2 - (\mathbf{x}\cdot \mathbf{y})^2##
We don't demand anything about a Jacobi identity, which won't be satisfied anyway except in the case ##n=3##.
As you know, in the cases ##n=3## and ##n=7##, there is such a cross product (but it might not be unique in the case ##n=7##). In particular, we can define the cross product by identifiying ##\mathbb{R}^7## with the imaginary octonions and then set
\mathbf{x}\times \mathbf{y} = \textrm{Im}(\mathbf{x}\mathbf{y}) = \frac{1}{2}(\mathbf{x}\mathbf{y} - \mathbf{y}\mathbf{x}).
Something similar works with ##n=3## and the imaginary quaternions.
Now, why doesn't it work with ##n=15## and the imaginary sedenions? Well, sedenions do not form a division ring. Even worse, there are nonzero sedenions whose product is zero. For example,
(e_3 + e_{10})(e_6 - e_{15}) = 0
With this, it is easy to see that the third property is not satisfied. Indeed, we set ##\mathbf{x} = e_3 + e_{10}## and ##\mathbf{y} = e_6 + e_{15}##, which are imaginary sedenions.
\mathbf{x}\times \mathbf{y}= \mathbf{0},~\mathbf{x}\cdot \mathbf{y} = 0
Now, this of course only shows that our naive choice of cross product will not work, but perhaps there is some other choice that does work. This can be proven not to be the case. Indeed, if ##\times## is a cross product on ##\mathbb{R}^n##, then it can be proven that ##\mathbb{R}^{n+1}## is a normed division algebra by setting
(a,\mathbf{x})(b,\mathbf{y}) = (ab-\mathbf{x}\cdot \mathbf{y}, a\mathbf{y} + b\mathbf{x} + \mathbf{x}\times \mathbf{y})
But a famous theorem by Hurwitz shows that the only normed division algebras are ##\mathbb{R}##, ##\mathbb{C}##, the quaternions and the octonions. See http://en.wikipedia.org/wiki/Hurwitz%27s_theorem_(normed_division_algebras )