Because they have no (rest) mass. Anything with mass can (will) slow.

As Jeff Root says, photons never slow but propagation of photons does slow as a function of refractive index. It is a peeve of mine that Harvard's own web site avoids this fact to promote sensationalism in their Bose-Einstein condensate studies.

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"Those who cannot remember the past are condemned to repeat it" - George Santayana