Because they are Muslims... This is the answer!
Veil is identity of a Muslim Women. I am sharing something about veils:
Two verses of the Holy Quran succinctly and candidly deal with the basic concept of veil in Islam. First; in Sura An-Nur (The light) the Quran says: “And tell the believing women to lower their gazes and be modest, and to display of their adornments only that which is apparent, and to draw their veils over their bosoms.”(24:31)
In this verse it is clearly mentioned that sex parts must not be exposed and must be covered. “Adornment which is apparent” alludes to the common body parts between male and female sexes. The face, hands and feet are common parts and are exposed without any indecency or immodesty. Second; The other verse of the Holy Quran is in Sura Al-Ahzab (The confederates). The Quran says: “O; Prophet! Tell thy wives and thy daughters and the women of the believers to draw their cloaks close round them (when they go outside). That will be better, that so they may be recognized and not molested”. (33:59). The ancient Arab history reveals the fact that the immodest and immoral ladies used to expose their bodies and walk in market without veil. They were purchasable commodities. They did not wear hijab or scarf. They were improperly dressed. The corrupt people could easily decipher and unravel about their character or profession. They were prostitutes. Hence the Quran announced that pious ladies must be properly and modestly dressed so that when they go out of their houses people should recognize them as domestic chaste, pure and pious ladies and they should not be teased or chased. From these two above-mentioned Quranic verses it is clear that God ordains to cover the bodies and strictly rejects and condemns nudity and obscenity.