There are a number of reasons, but the two primary ones are: Sandy soil is light-permeable. If the soil is dry, or if it has a lot of air pockets, it's not going to hold water. Water will leach out of the soil. The soil is compacted. Sand particles are small and don't have much weight. They pack together tightly.
Soil that is compacted has very little pore space and can't hold water. If you put your finger in the top 6 inches of a sand bed, you won't be able to see your finger. You can feel the sand when you dig it up, but you can't see it.