Hi Shyamal,
This is something that we have been considering for while now and is currently being tracked as an open feature request. Although it is not something something in our current roadmap.
This is not a case of avoiding developing a feature, as any company developing a product must, we have to prioritise developing certain feature over others. We would love to implement folders in our media library, and in fact improve the media library all round, as soon as we can. We have a lot of improvements planned for the dashboard/writing room in the near future and hopefully work we have been doing in our codebase will allow us to do this at greater speed.
I understand the use-case for having folders also, search through large numbers of documents can be frustrating and time consuming. One work-around to group documents is to use the 'Private Notes' feature as described here:
These acts as 'Tags' almost and making use the search function more efficient so that the process of finding media becomes easier.
If/when the team has any more information on this subject they let everyone know here 
Thanks.