There are a myriad of reasons why, but the easy, one sentence answer is, because they believe God has made it an obligation for believing women. In the Quran God tells the believing men and women to lower their gaze and to dress modestly. He (God) specifically addresses women when He asks them not to show off their adornment, except that which is apparent, and draw their veils over their bodies. (Quran 24:30-31)