Umm, you CAN, but few people are able to do so successfully. The problem is that nudibranchs have EXCEPTIONALLY speficic diets. They typically eat one thing and one thing only. So if you do choose to keep one, you HAVE to have whatever it eats on-hand. Furthermore, many nudibranchs fill their bodies with concentrated toxins (typically from their prey) and upon death can release these toxins into the water column and "nuke" the tank (kill most living things in it).
So while beautiful, nudibranchs should really only be kept when their diets are known, and the aquarist experienced IMO