Because JPEGs weren’t meant to. Sort of like asking why your Honda can’t float, it just wasn’t designed to.
JPEGs were meant for making photos small. It’s good at doing that, but photos taken from a camera don’t have, nor need transparency info, so it wasn’t included. JPEG’s algorithm compresses an image’s color using [YCbCr](https://i.pinimg.com/originals/43/6d/4b/436d4b5540810fa6492bd6fca4a42c09.jpg) instead of RGB, so adding a 4th transparency channel would make it less efficient.
If you want transparency, use another format such as .PNG.
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