Because the singular of "sheep" (plural) is "sheep" (singular) ; and the plural of "sheep" (singular) is "sheep" (plural). If the singular were "shep" then the plural might be "sheps" or "sheep" or "sheppen" or something else, but it isn't, so it isn't.
The word 'sheep' has had a variety of forms over time, one of which was 'shep'! The original plural was 'sk�pu' but the 'u' was lost during Old English times. As a result, both singular and plural forms are now identical. (As a matter of interest, in Northumbria more recently, there was a singular 'scip' and a plural 'scipo'...pronounced 'sheep' and 'sheep-o'. So, why don't you try to reintroduce that?)