The most straight-forward answer would be that they do not need one.
Since prokaryotes evolved first it may be more relevant to ask why do eukaryotic cells have a nucleus? Click here to see more
This article suggests that the evolution of the nuclear membrane allowed the separation of the processes of translation from transcription. This allowed greater control of these two key cell functions.
I would also suggest that a nucleus is helpful to contain the numerous chromosomes found in eukaryotes. This is not an issue for prokaryotes which only have one loop of DNA (see ).

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