Because they aren’t businesses that generate income. Money that you give to a church goes to a specific function - the food bank it runs, the roof and electricity, church services, the outreach program, staff to answer the phone and run the place, the local hospice, schools.

Tax them and they have to generate income, and that would mean taking a lot of money that would normally be given to one of its functions - the church food bank, for example, and give it to a government. That’s the opposite of what you’d want to do from a government standpoint.