Why not? Two reasons, according to Ellis Weiner on Huffpo.  “There are two reasons. One is that they’re not funny. The other is that they’re not conservatives.”  

Not funny?  Weiner describes conservative humor:

Whereas political humor, by definition, is anti-power. It makes fun of those in power — that’s what makes it political humor to begin with.

But while Republican comedians may be willing to indulge in some harmless joshing about their political leaders, they ultimately don’t want to mock, and thereby kill, Daddy. (Does anyone think a right-wing “humorist” will make fun of Bush the way that Stewart, Letterman, or Conan made fun of Clinton?) They need Daddy to stay alive, and retain his authority, so they can please him. That way, his strength can be theirs.

And not only his strength. If they defend Daddy, it’ll pay off. Daddy will give them a job at the Heritage Foundation, either pretending to fix the Iraqi stock exchange or writing lame-brain books (about how great Daddy is) that will be bought, in bulk, by the Heritage Foundation.

Instead, when they’re not mocking Mommy (i.e., liberals, and “caring,” “hugs,” “self-esteem,” etc.), they do what nasty children do to make Daddy think they’re all grown up: they impugn the sexuality of their target.

Thus, Hillary is a “bitch.” John Kerry is “French.” John Edwards is “a faggot” or “a Breck girl.” There’s your Republican humor: sneering cafeteria put-downs from the dumbest jocks in school.

Here’s how Weiner deals with the second point–that “conservatives” aren’t actually conservatives:

If it has accomplished nothing else, the Bush administration has scoured and, so to speak, “cleansed” the right of actual conservatives. These, you will dimly recall, are people who believe in limited government, balanced budgets, fiscal probity, individual rights coupled with personal responsibility, the sanctity of the Constitution, constrained foreign adventurism, and a respect for tradition, knowledge, and common sense.