Because they are most likely gone.

I answered a similar question not really long ago, but I can't seem to find it. After Alexander's death, his body was stolen by Ptolemy on its way to Europe and taken to Memphis, from where it was moved to Alexandria by Ptolemy II Philadelphos some decades later.

Now, we don't know it for sure, but according to Roman sources that mention Augustus visiting Alexander's burial place, which was called Soma, in his Egyptian foundation, and being asked whether he wanted to visit the tombs of the Ptolemies, one could argue, and it would make sense, to me at least, that they were, if not in the same complex, of which the Library was also part of, very close to it.

Mentions of any Ptolemaic burial besides from this one, are practically non existant -we have no details about where or how Cleopatra was buried besides the fact that it was with Antony-, and those of Alexander's own mausoleum are also scarce, being limited to the visits of some Roman Emperors, like Caligula or Septimius Severus. After that, the Soma simply fell into oblivion.

Currently, there are a few possible explanations. The first and most likely one, in my humble opinion, is that Alexander's mausoleum, and that of the Ptolemies, were it the same or not, were eventually forgotten and abandoned and they just disappeared, be it because of an earthquake, like the one that put the Lighthouse underwater, a fire, riotings or whatever other reason.

The second is that the building was reused as a church or as a mosque and it remains buried under the streets of Alexandria to this day. There has been some attempts to tie the Soma with certain churches and mosques in the city, but as far as I know none of them are seriously considered nowadays.

The third, and one that I find extremely unlikely although there has been some suggestions on the last decades, is that Alexander was, at some point, moved from Alexandria: some argue that a certain tomb found at Vergina, the royal necropolis of the Macedonian kings, belonged not to Phillip II, but to his son Alexander; others have even said that he might be buried at Siwa.

However, these are not very popular ideas. If their graves still exist, which is by itself a very unlikely event considering Alexandria's own history of disasters, fires, conquests and sackings, they should definitely be under the streets of the city, but we should probably not count on that.