By the time the Allies had the capability to extend their bombing raids into Poland, which was not before July 1944, most of the death camps had stopped operating. Please see here for the difference between a death camp and a concentration camp. Belzec, Sobibor and Treblinka had been dismantled by the end of 1943. Chelmno operated with gas vans, so there was nothing to bomb there. Majdanek had only been used as a death camp between late 1943 and early 1944 (the rest of the time it was a regular concentration camp) and was liberated by the Soviets in July 1944.

That leaves only Auschwitz. Auschwitz was bombed but it was the strategically important Buna factory at Auschwitz III-Monowitz that was the target of the bombings. The reason that the gas chambers were not targeted is that eliminating them was not of strategic importance and was not one of the war aims of the Allied command. They were interested only in winning the war.

A related question is often asked: why didn't the Allies bomb the railroads leading to the camps? (Also, Holocaust deniers claim that the deaths were caused by the Allies bombing the rail lines)

The truth is that WWII bombers were largely ineffective against rail lines.

There are a number of reasons for this. The first is that WWII bombers were not accurate enough to reliably hit a rail line. Keep in mind the very nature of a set of rails--they are a ribbon of infrastructure mere feet wide that snakes through the country. Now we add the difficulties of WWII bombing that resulted in most bombs ending up nowhere near their intended target. Specific factories were often missed by the bombers tasked to destroy them, and there were many times in which entire cities were missed by the bombers. The 'solution' to this difficulty was to send more bombers (again, at great expense) so that you could drop more bombs in the hope that one of those bombs would hit its target. This was somewhat effective.

There were operations undertaken against German rail lines. Most prominently, they were targeted as part of the 'Transportation Plan' prior to D-Day. As reconnaissance during the war indicated and surveys after the war confirmed, there was some success for a time. Rail lines, if targeted with large numbers of bombers, could be disrupted--but only for a short time. But unless a bridge or viaduct was somehow heavily damaged or destroyed (something only 'tallboy' and 'grand slam' bombs very late in the war had any real chance of accomplishing), the railroad would be repaired in short order. Basically, most of the time the trains were able to roll through the targeted area in 24 hours. This is partly due to the aforementioned difficulties in targeting rail lines, but the Germans also had dedicated forces to repairing railroad damage. In addition, these units would compel local people to assist in the reconstruction of the rail line. Further, outside of bridges and viaducts railroads are basically piles of rocks and gravel with a little wood and steel beams on top. This means that low-tech solutions were perfectly suitable to fixing the damage caused by relatively high-tech instruments such as heavy four engine bombers equipped with every modern piece of equipment. German railways only collapsed extremely late in the war, basically when every other service had also shut down and the government had effectively collapsed. (Christian Wolmar covers this quite well in Engines of War)

In the final analysis, rail lines could only be cut on a tactical basis. Within a matter of hours repairs on a damaged line could be completed, so to ensure that a rail line was not used it would have to be retargeted multiple times. This meant that the bombers could not be used to attack other targets that were also deemed worthy of their attention. So, to target the railways leading to the death camps, bombers would have to undergo great risks (at great expense both in money and men) repeatedly (because the Germans had great success in repairing rail lines within hours) to even have a chance at success, and other targets would have to be neglected. So the Allies generally focused on other targets rather than try to cut any rail line, much less a rail line leading to any of the camps.