* Gravitational Capture is Tricky: For an asteroid to be captured by Earth's gravity, it needs to lose enough speed. This is a delicate balance. If it's too fast, it'll just fly past. If it's too slow, it'll crash into Earth. The odds of an asteroid slowing down just enough to be captured are extremely low.
* Orbital Stability: Even if an asteroid were captured, it's unlikely to have a stable orbit around Earth. The gravitational influences of the Sun and other planets would likely destabilize its orbit, causing it to either escape Earth's gravity or collide with the planet or another celestial body.
* Size Matters: The asteroid would also need to be the right size. Too small, and it would be easily disrupted by solar wind or other forces. Too large, and its gravitational influence might actually disrupt Earth's orbit around the Sun.
While the concept of a second moon is fascinating, it's much more likely that an asteroid would pass by Earth or even collide with it rather than become a permanent satellite.