They don’t.
Many of them get really hot.
But getting hot is not the same as on fire.
The reason they get hot is that objects in space tend to move really fast compared to Earth and if you go really fast in the atmosphere friction will heat you up.
If you rub your hands together quickly they will heat up.
If you rub a rock moving many times the speed of sound against air it will heat up too.
Objects in space tend to be quite cold if they have been there for a while. So once they hit earth they may not actually be hot despite getting heated while coming down.
For things in orbit the main issue is that orbit means going really really fast around the world.
The International Space Station flies at extremely high speed around the planet. down here on Earth this would be bout two dozen times the speed of sound.
Any spacecraft departing from the space station or a similar obit will need to slow down a lot, before they can land.
You can slow a spacecraft with rockets, but that costs fuel and extra fuel is something you want to avoid with rockets.
So most spacecraft do most of their slowing down by hitting the planets atmosphere and letting the air slow it down.
If you are familiar with automobiles, you will know that breaks get hot when you use them.
Using the air to break works just like that. The air and the parts of the space craft it is rubbing against get heated up.
A lot!
This is why the shuttle had this big heat shield on its underside.
It could heat up with out transferring the heat to the astronauts inside and cooking them.
The whole rubbing against air while going really fast thing will not just heat up things, it will also rip them apart if they are not build quite right.
A rock being heated up and getting ripped apart by going through air really fast, may look like it is “burning up”, but there usually isn’t real fire involved.
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