The simple answer is that, if they were, it’d mean they were frequently dragging and sticking on stuff in the place they spend all their time. Which wastes energy all the time.
So there are various ways they prevent that from happening. Mucous, hairs with oils, hard surfaces covered in wax, etc. The ones that were better at it had an evolutionary advantage (not wasting as much energy), so over a very long time those traits gradually spread everywhere.
They do often have *dry, fine dust* from their environment all over them – this can also keep more obvious dirt from sticking, as it binds to the dust which falls off easily rather than to the hairs/whatever. Ones that intentionally take dust baths, or produce their own (e.g. birds are dusty AF), are kinda on the extreme end of taking advantage of this.
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