The same reason ghosts and vampires often similarly reappear soon after being banished or defeated. All are undead, protected or animated by powerful magics, and you generally can’t just “kill” something that’s already supposed to be dead. Death no longer has meaning to it, its mere existence proves that it is beyond what we would normally consider death. At least not without exploiting some kind of specific weakness, using some elaborate ritual or calling ghostbusters.

Zombies are sometimes considered undead too, and originally they pretty much were, but more recently they’ve mostly been modernized and adopted into a more pseudo-science existence where they’re simply dead-ish, but with bodies still animated by some kind of infection in the nervous system and brain that allows basic biological activity to continue. The biological activity, then, can still be stopped using most or all of our conventional methods of stopping unwanted biological activity.

True undead are much more difficult to permanently end, and a skeleton is very clearly not using any traditional biological activity to exist, so whatever does allow it to exist isn’t likely to be stopped by our traditional methods of ending life.