Because of the Greek myth about it. In fact, the sphynx associated with riddles is not the Egyptian one, but the Greek one. It was a monster with leonine body, eagle's wings and a woman's face. It blocked the way to Thebes by asking every traveller to solve a riddle. Who gave the wrong answer was devoured. Then the king of Thebes, Creon, promised that anyone who could solve the riddle could marry his sister, Jocasta. Oedipus, who was going to Thebes, met the Sphynx and was posed her riddle: Which is that animal who walks on four legs in the morning, on two legs at noon and on three in the evening?" Oedipus gave the right answer, the man, and managed to reach Thebes. There, Creon gave him his sister Jocasta as a wife. Problem was, Jocasta was Oedipus's mother, even if none of them actually knew it.