Because the material in the walls doesn't readily absorb the radio waves. (This isn't meant to be smart-alecky, even if it sounds that way.)

All materials absorb radiation at frequencies determined by the electronic structure of their constituent molecules. We use glass as windows because it doesn't redily absorb photons in the visible range, but we choose the material for wall based on other criteria (e.g. looks, availability and structural properties. And we don't actually want light to go through!)

Metals tend to be really good at absorbing radiation in that range, as are (generally) any materials that have a large number of states for electron excitation.

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