For many of the same reasons that birds can land on high voltage lines without risk of being electrocuted. A flying insect has stored voltage with no path to ground, or any point with low resistance and lower potential.

When you hit a flying insect with a zapper you are supplying a high potential and low potential electrode. The insects body completes the circuit and the stored voltage is routed through the insect, rendering it a flightless blob of goo.