Because they don't draw enough current.
That's good, because they don't consume much energy.
Not sure of the total wattage of your string of bulbs, but a 100W filament bulb draws around 4A RMS.
The equivalent LED is around 10W (max), drawing less than half an amp.
Conventional dimmer switches that chop up the current can't work on such small currents.
You'll need a dimmer switch that can work with very low currents - sp[ecifically for LED systems.