From what I recall, diamond isn't especially brittle, but it has fault lines and weaknesses that can cause it to split if you hit them just right. The value of diamond (and sapphire) is in their hardness; edges made from them stay sharp for longer than (say) steel.
The best materials for clubs and maces are heavy (i.e. dense), like lead, gold or platinum. Strength can also help; if you're hitting someone wearing plate armour, you want to be able to dent and distort the armour (lead and gold are pretty soft; the dents would all be in your club rather than the target).
At the end of the day, the most cost-effective options are going to be iron and steel.