Part of the reason is that the Persians apparently did not develop a tradition of history-writing in the same way that the Greeks living on the fringe of their empire did. The only known historical accounts of Persian affairs were written by Greeks - including a Greek doctor named Ktesias, who was King Artaxerxes II's personal physician.

Another part is the fact that the Persians introduced a different ideology of kingship than their Assyrian predecessors. Where the Assyrians left long inscriptions of kings' heroic deeds all over their empire to legitimize their rule, the Persians gradually adopted a more abstract notion of royal legitimacy, in which the Great King was the physical manifestation of Ahura Mazda's desire to spread peace and justice through the world. As a result, there is exactly one Persian inscription (at Behistun) that tells us details about actual events; every royal inscription after that is frustratingly vague and generic. Often we cannot even tell which king had them set up.

A final major part of the reason is terribly ironic: the Persian empire was too rich. Previous empires in the region kept meticulous records of taxes, inventories, legal arrangements, transactions, official communications, letters - a massive bureaucratic corpus. We have no reason to assume the Persians did not do the same. However, previous empires wrote everything on clay tablets. These are cheap and nearly indestructible; if you smash them, you can be put back together, and if you burn them, they just become harder. But the Persian Empire was so wealthy that it could afford to write on more easily manageable material, such as papyrus or leather. These materials decay over time. They also burn. All most Persian administrative records are lost.

We know that this is what happened because a very small number of letters on leather do survive, having been preserved in the arid highlands of Iran. Also, the Seleukids, who ruled much of the former Persian empire after the death of Alexander, have left vast empty archives in which all letters and documents were burned, but the clay seals that used to mark them survive. The Persian Empire's records likely suffered the same fate. Now the only genuinely Persian sources we have to work with are reliefs.

Edit: showed my ignorance there. I was duly corrected by /u/ScipioAsina