It is unusual for a modern motherboard to lack this functionality, so a couple of things to check:
1) Is the fan you are using the correct type?
For a fan to have its speed controlled it should report its current speed back to the motherboard by means of (usually) an induction sensor. This requires a third wire from the fan back to the motherboard. Check that the fan you are using has three wires and not two (some cheap ones don't have the sensor and thus only 2 wires).
2) Check the ACPI settings of the motherboard.
ACPI stands for Advanced Configuration and Power Interface and is the standard method for controlling and measuring such things as CPU temperatures, fan speeds, battery charge, etc. If ACPI is disabled in the BIOS it may well stop you from using the ACPI facilities.
Failing that, without feedback from the motherboard as to the temperature of the CPU, or some other way of knowing the temperature of the CPU and using that to vary the speed of the CPU fan it would be unsafe to slow down the speed of the fan as at times of heavy load there is a risk of the CPU overheating.