Because integrals are not something to be "solved" by default, but a tool of mathematical expression in their own right.
Can you express $\sqrt{2}$ as something else? Probably nothing simpler. You can approximate it, but that's about it. Likewise, why should you expect to be able to express some arbitrary integral, say
$$\int_{0}^{1} e^{\sin x}\ dx$$
as something simple? But of course, generating arbitrarily precise approximations to either is trivial, because it basically amounts in both cases to cutting off the limiting definitions at a finite number of steps, or finding some more efficient procedure that is equivalent thereto, and hence is systematic. In a sense, numerical integration is already there within the definition of integration itself, as a limit of the Riemann sum.
The real problem this relates to is a) not emphasizing enough the distinction between a mathematical object and a representation of that object, and b) thinking that there is "one true and correct" representation. When you "solve" an integral, what you're really doing is trying to create a representation of the value (or function, if it's an indefinite integral) it denotes, with something that is either not itself an integral, or doesn't have to be one, at least (already one can suggest that the natural logarithm is, in effect, the first "non-elementary" integral, as it is the first one to take one outside the field operations of the real numbers, but we call it elementary because tradition).
But not only may such representations not exist, but even if they do, they might not be the best representations to use in a given situation. For example, this indefinite integral
$$\int \sqrt[3]{\tan x}\ dx$$
famously starred in a YouTube video by a maths professor going under the handle "blackpenredpen", because while it can be "solved" symbolically with "elementary functions", the expression is a long, crazy, awful mess, so bad that if you encountered it in a problem somewhere, I would actually think it preferable to simply leave it as an integral, with a small note that the integral has an elementary symbolic representation, but it is far too cumbersome to use.
Indeed, this extends to the whole idea that you should always "simplify" everything. Actually - no. What you should really seek is to put things into a form that makes their intent the most clear, and/or that makes them the most pleasing aesthetically. In many cases, that may involve simplification, but not all. Same for reducing fractions, etc. - I've seen tons of times when that an important pattern in some sequence of fractions would be seen far more clearly if one did not reduce them. And likewise, I would not call the expression coming from the integral immediately above a "simplification" - more like a "complication" to me. Yes, it gets rid of the integral, but it's very difficult to decipher any useful meaning from it. Moreover, one can in fact also argue it doesn't even do that: tangent, and other trigonometric functions, ultimately need some kind of integral-like process to define them, so you're in effect "massaging" some integrals into other integrals, that are worse and more verbose and not at all clean. Same with my very first example. There are ways to express it using various fascinating and obscure mathematical functions, but in terms of sheer elegance, I think simply leaving it as the integral actually is the best justice. There's no need, as you in effect have hinted at, for such expressions for doing calculations, when powerful numerical integrators exist already.
Once you stop seeing integrals as things needing to be "solved", any more than $\sqrt{2}$ "needs" some kind of "solving" to be done to it when you encounter it, then questions like these reveal themselves to be rather unnecessary, or their answer in fact quite trivial: Integrals are really a much, *much* more powerful mathematical operation than the ones you have had on hand before you are introduced to them, and they should be thought of as opening up whole new vistas of expressibility of things you could not express before, and that is the meaning of "why they're hard". Reducing them to things for "solving" is to, in a way, insult this power, and suggest they are an obstacle, instead of a facility. Integration is not hard. Trying to tame the power it represents, and shrink it down to what you call "familiar", is.
And so terms like "Exact forms", "closed forms", etc. are things that I think should be banished, too, for the same reason. There is nothing "inexact" about any of the above expressions. We should instead talk of various kinds of forms - representation by integrals, by arithmetic functions, by trig/log functions, by codified integral-defined functions ($\mathrm{erf}$, etc.), by infinite sums, and so forth and not get hung up on any one in particular as "better" or "worse" but to get a good feel for the pros, cons and utility of each. Maths is really a language to express, not a puzzle to crack. Puzzles are what you express in maths, just as you can express them in human language. And ideally, just as we should strive for clarity in expressing ourselves in our human languages, we should do the same for our mathematical language, as well.