If you use Newton's 3rd law of motion, which states that for every action, there is a equal and opposite reaction i.e. when the fan accelerate the air particles by a force, it also experiences a backward reaction force and according to 3rd law of motion these action and reaction force must be equal.Hence the net force acting of the box is zero . That's why it is not moving by the fan.
$F_{reaction} = F_{action}$
If you want to explain it by the momentum conservation theorem then you have to consider the change of the fan and air particles and the summation of change of momentum of all particles must be zero. Since here the velocity of the fan and the air particles are opposite directed, hence the summation becomes zero.
$\sum^n_{k=1}$ $ m_i\bar{v}_i$