A few reasons, actually.
First is size. Cows are big and produce lots of milk. They can produce a surplus, so we’re not harming the calves, either. Same with goats. On the other hand, guinea pigs wouldn’t be a good choice for this reason.
Next is domesticablility. We can’t safely milk wild animals, of course, but many domestic animals don’t take well to it (like dogs).
Flavor is important. Sheep don’t produce a milk that humans would like (or so I’m told).
Practicality: ~~Sheep would also be difficult to milk due to their wool and skittishness, it’s not just their flavor that’s off-putting.~~ (E: I was wrong on this, people *do* milk sheep, e.g. Romano cheese may be made from sheep’s milk.) Some animals just take to being milked better than others.
You can’t produce cheese without milk, so your options are limited to that. So far as I know, every animal we can successfully milk at scale also has one or more cheeses made from their milk.
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