Russia was a European empire (one of the biggest) when the scramble for Africa happened and they had enough resources to get a ton of Africa, so why didn't they colonize in Africa? It could have been a really good opportunity for them.
You got your facts wrong.
- The peak of the scramble for Africa was the Berlin Conference of 1878.
- Alaska was sold to the USA in 1867.
Russia had (and has) great resources, but always had (and has) problems monetizing them. They didn't sell Alaska for pennies on the dollar because they are such generous people, but because they desperately needed the cash. Especially after loosing the Crimean War in 1856. That's probably the reason why they sold it to the USA, not to Great Britain.
Russia doesn't have too many warm water ports. Maritime trade never has been that important for Russia. Today the sanctions they face would cripple any other nation, but Russia seems to endure it. Why? Because it doesn't really need outside resources.
Apart from that, they already had a colony. The largest in the world, it's called Siberia.
During this time Russia was already engaged in a colonial enterprise on a staggering scale - the conquest of Central Asia. Conquering and then digesting such a vast territory more or less took up most of Russia's attention and resources available for colonization.
The colonial interests of Russian Empire lie elsewhere - notably in Central Asia (as has been already pointed out in the answer by @FelixGoldberg). In part this was due to geographic and historical factors, but also due to the competition with other colonial powers, notably Britain and France. Just to give a few points (a rather incomplete list):
- Russian attempts to profit at the expense of the Ottoman Empire and to increase its influence in the Balkans were repeatedly countered by France and Britain, eventually culminating in the Crimean War.
- Not the least in the competition for Turkey was the Russian Navy access to the Mediterranean sea via Bosphorus and Dardanelles - this may be counted as one of the more explicit reasons why Russian Empire never git to Africa.
- The conflict between Russian Empire and Britain in Central Asia is known as Great game. On occasions this came close to an outright war, but the issues were eventually settled diplomatically, notably through Pamir Boundary Commission protocols in 1895 and Convention between the United Kingdom and Russia relating to Persia, Afghanistan, and Tibet in 1907.
- Finally, the culminating point of the cooperation between the colonial powers was the Sykes-Picot agreement, where the British and French empires divided their spheres of influence in the Middle East, while the Russian Empire renounced its claims to the region in exchange for having a free hand in Central Asia.