For the same reason they don't keep the livestock in the house: they're not pets. Working dogs are trained to work with the livestock, and stay with them. They are not considered members of the family, the way pets are.
This is part of a bigger issue: the disconnect we have, in treating some animals as friends and companions, while others are workers or food. Would you have a sheep in the house? Or barbecue a dog? Why is it OK to eat some animals, while we love and cherish others?