This was the question from the curious 6 year old as we drove along. Answer offered by adult: “Because their feet don’t conduct electricity. Electricity doesn’t pass through their feet because of what their feet are made of.” Question from other adult: ” What are their feet made of?” Well, no one in the car knew. Were we even right with our first answer? It turns out we were not!
Here is the simplest explanation I could find, from Rocky Mountain Power:
The bird is not grounded. It has not created a path of lesser resistance for electricity to follow. If the bird simultaneously touched two wires, the difference in resistance between the two wires would create a path through the bird and it would be electrocuted.
Well there you go! Apparently it works ok for small birds, but overhead electrical wires can be quite a danger for larger birds.