Its because they are not completing the circuit I think, if we could balance on the wire, far enough away from the ground we would also be ok. But generally when we touch wires we are touching something else too, part of a support, or a ladder, or the earth, and that completes the circuit and Boom.
Just being above the ground and only touching the wire might not be enough tho, as the electric could arc across gaps so it would need to be very well clear up in the air.