Because that's how skeletons work dumbass

Presumably if they're just skeletons they were animated this way anyway. Otherwise they'd just be a pile of bones with no way to move or hold themselves together.

Cause they need to, man. Next hero comes down the hall expecting dancing fuckin’ skeletons to whack, what else are they gonna do? Their union contract guarantees them good pay, calcium paste, and a continuous supply of puppet strings. Let ‘em do their jobs. They’re tired, man.

The same reason ghosts and vampires and mummies often similarly reform, reanimate or reappear soon after being banished or defeated. All are undead, protected or animated by powerful magics, and you generally can't just "kill" something that's already supposed to be dead. Death no longer has meaning to it, its mere existence proves that it is beyond what we would normally consider death. At least not without exploiting some kind of specific weakness, using some elaborate ritual or calling ghostbusters.

Zombies are sometimes considered undead too, and originally they pretty much were, but more recently they've mostly been modernized and adopted into a more pseudo-science existence where they're simply dead-ish, but with bodies still animated by some kind of infection in the nervous system and brain that allows basic biological activity to continue. The biological activity, then, can still be stopped using most or all of our conventional methods of stopping unwanted biological activity.

True undead are much more difficult to permanently end, and a skeleton is very clearly not using any traditional biological activity to exist, so whatever does allow it to exist isn't likely to be stopped by our traditional methods of ending life.

Because it is visually cool.

What is dead can never die

It makes for some pretty neat (infuriating) game mechanics. Like an infinite mob spawner, but more intuitive and less dull.

They're possessed by the power of Music.

Necrodancer : REANIMATE!!

In its original Japan, Dry Bones is known as Karon, a reference to the sound of bones clattering.

Well there you go. They won't rest until they speak to your manager.

Magic

They got back together and got up the first time they died, why not do it again the second time?

"...bone to his bone."
- Ezekiel 37:1-8 KJV

I was about to hazard a guess that it hearkens back to Ray Harryhausen, but I rewatched the skeleton fight from Jason and the Argonauts, and I'm astounded that they apparently didn't do it there.

Why shouldn't they?