The Compound Bow (
http://en.wikipedia.org/wiki/Composite_bow) was made to give horseback archers (most notably the Mongols) the ability to carry a shortbow that had the strength of a longbow (which was too large to properly fire from horseback). It was made of sinew and horn and glue in different portions of the bow to take advantage of every component's different properties (the horn gave the bow rigidity)...
Compound Crossbows, however, are a modern invention (
http://en.wikipedia.org/wiki/Crossbow), and are not made of horn and sinew, but lightweight alloys and carbon fibers.
While it was possible to make a compound crossbow, keep in mind the only advantage of a compound bow was that it was not as long, not that it was necessarily stronger (it could only be stronger if the person weilding it would be strong enough to pull it). A crossbow, meanwhile, was capable of having pulls so powerful that you literally needed a built-in winch to crank those back, and the length of the bow part was never much of a problem.
More to the point, though, the major drawback of a classical compound construction, using melted animal horn as glue, was that the glue would start to dissolve in moist areas... like, say, caves. They were wonderful weapons for horseback riders who mastered the dry steppes and invaded the deserts of Arabia, but they fell apart in your hands in wetter climates.