Because there was no need for them other than beep to indicate an error.

Compared to the capabilities of early PCs storing sound files was incredibly expensive (disk-space) and the register sizes of 8 or 16 bit were way too small to play any kind of recorded sound. That's why they could only play MIDI sounds, which is basically a score telling a special chip what sounds ("instrument" + pitch) it should play. While this can produce great results (modern electric pianos do the same), it wasn't economically viable back then