They do.
The thing is, if and when the frozen crystals become heavy enough to fall to earth, the air levels that they pass through may be warmer and so melt them back into water.
Many clouds are made up of ice crystals. Some rain starts out as snow which melts before it reaches the ground. The clouds that give rise to sun dogs and moon dogs are made up of columnar ice crystals which are orientated vertically as the fall.