Because the sun is…just…huge. It's really, really big. There is so much matter that makes up the sun that it's actually horrifying to even think about. Even Jupiter, our biggest planet, is small and relatively lightweight compared to the large star we orbit. If you look up scale models of these things, it'll make your body hair stand on end. It sends chills down my body when I see the sheer difference in size.
Edit: some comments have pointed out that I forgot to mention density when it comes to mass calculation. These things are common knowledge for some, and foreign to others, so I would just like to add it in.
The suns average density is 1.41g/cm^3 and the average density of the planets are as follows in g/cm^3:
- Mercury: 5.4
- Venus: 5.2
- Earth: 5.5
- Mars: 3.9
- Jupiter: 1.3
- Saturn: 0.7
- Uranus: 1.3
- Neptune: 1.6
- Pluto: 1.9
Now, even though the planets are generally DENSER on average than the sun, they're not dense enough have enough matter in their little selves to make up more than 0.2% of the solar systems mass. Keep in mind, this is just the planets (yeah I know Pluto isnt a planet but I included it anyways) and there are also asteroids and comets and moons and such included in that 0.2%. Anyways, I just wanted to include this little snippet in here for anyone interested.
Edit: this is the most upvoted thing I've ever posted. Thank you all so much for reading and upvoting, I really do appreciate it. I enjoy answering questions like this, and I enjoy seeing your comments and replying to further questions or elaborations so much. I wish everyone a blessed day!