Any number of reasons.

One, Achaemenid clothing is still relatively poorly understood today, despite extensive study of reliefs and texts nowhere near available to a 15th century painter. A stylistically "authentic" picture of that sort would be impossible to produce.

Two, the painting is full of symbolism and hints to the reader conveyed through clothing. We can immediately see who the Great King is - he has a purple cap and a purple embroidered cloak. The king's ministers are identifiable by wearing a similar black cap. The man in the skullcap and breastplate must be an officer or bailiff of some sort. The man who seizes Sisamnes by the arm wears a distinctive buff doublet. All of these things carry symbolic meanings and cultural values G. David was publishing to his audience. Moreover, this anchoring in the sociopolitical symbolism of his day allowed him to depict an ancient motif which could serve as a critique modern society.

This still happens today; we have ideas of what knights and romans and greeks looked like not necessarily matching the historical record but instead appealing to certain modern aesthetics. Many of us picture a "medieval knight" as someone wearing 16th-century plate armor, while more accurate depictions of something like ~12th century chainmail armor (as in, say, Monty Python and the Holy Grail) can look off or downright silly to our tastes. Or, for an even more striking example: we picture Roman marble statues which were painted as chalk-white thanks to pervasive Renaissance understandings of Graeco-Roman aesthetics.

Anachronistic thinking is an issue I think anyone engaging with the historical record encounters. For example, I have to constantly remind myself that a blunt weapon (common in IE religious motifs) in Vedic and Gathic time would have been a sturdy club, not a bronze mace as they are often later depicted.

Extra question: Why did painters often despict them in Medieval themes, when most of the events happened long before the medieval age?