Actually, radio waves travel very quickly through space.
Radio waves are a kind of electromagnetic radiation, and thus they move at the speed of light.
The speed of light is a little less than 300,000 km per second. At that speed, a beam of light could go around the Earth at the equator more then 7 times in a second. The reason that it takes so long for radio messages to travel in space is that space is mind-bogglingly big. The distances to be traveled are so great that even light or radio waves take a while getting there. It takes around eight minutes for radio waves to travel from the Earth to the Sun, and four years to get from here to the nearest star.