Rules 12.53 & 12.54 refer to retreats. A defender is permitted to convert an enemy-controlled (non-fortress) city into which it retreats. Does the same apply to an attacker retreating into an enemy-controlled city from which it launched an unsuccessful attack?
No. Since it's mentioned nowhere, it doesn't happen. Simple. I think, from a gaming perspective it has something do do with having been the active player and having forfeited the opportunity to convert it just a "moment" before during movement (preventing gamey tactics or so - don't ask me .