Basically, the Electron shells in an insulator are complete, they are not prone to accepting external electrons or donating any of theirs. As such they aren't waystations for electrons looking to move (conduct).
There is a need to slip away from what's going on with individual atoms when looking at conductivity (which can be used to sort out insulators from conductors). When a whole bunch of atoms or molecules are put together, a number of other opportunities or places for electrons to exist are created. The valence band of a given atom is subordinated and another type of "valence band" is set up. This new valence band (we are assigning a new definition) does not have a given energy level (like it would for a given atom) but, rather, has a range of allowable energy levels. This is because the many different atoms and molecules when combined to make up whatever it is we are making provide other places (energy levels) in which electrons can hang out. (Let's give Fermi, Schrödinger, Bloch and Brillouin the day off to keep from running off the page.) We have our newly defined valence band as a range of energy levels which an electron can occupy. (These were not available in a single atom of the material.) In a conductor, the band of energies in which an electron must be to support current flow actually are so low that they overlap part of the valence band. That means electrons in the material can support conduction and play musical electrons. In an insulator, there is a gap between the valence band (that group of energy levels allowed by the material as a whole) and the conduction band. Electrons cannot support conduction because they cannot reach the higher energy bands necessary to support it.