Because they are siblings. Mine are twins but are close and age and when they were that age they stuck close together in groups of kids because it was familiar for them.
I suggest having separate playdates for them (where there is only the one child and the other is out of the house or not there). They still might not socialize at first but it will happen. You might want to consider separate classrooms in kindergarten, too. I've heard that is very beneficial for many twins.
My dd has twins (identical) in her class. There is only 1 class per grade so this happens a lot but the girls mostly just talk to each other and my daughter. It wasn't until this year (4th grade) that they've started to branch out and have separate friends. They are very shy and cling to each other and do everything with each other.
at 6:58 PM on Jan. 5, 2010