Perhaps a tongue-in-cheek question! But I think the answer has something to do with the lanolin in their coats. A sheep's wool is greasy, I think the lanolin makes it waterproof to an extent.
nothing to do with the sheep! More the other way round- why do woolly jumpers shrink- seems like its due to mechanical movement when washing and also how the wool was knitted to make the garment. Have a look at http://www.woolmark.com/advanced.php?id=55&PHP SESSID=c248c68c217433d3