Okay, first of all, that's like asking "why is there matter?" Plenty of things just are; whether or not they have a reason, it doesn't seem to be one that human beings can know about. We have a fair amount of evidence that reincarnation happens, and that memories from past lives don't usually appear except among people who do a lot of spiritual practice; that tells us something about how the world works, even though it may not tell us why.

Now of course plenty of spiritual and occult teachers have wrestled with this question. The answer that's most generally accepted in occult tradition is that memories don't come through most of the time, but character does. If you were involved in the atrocities against the Ukrainians in the 1930s, say, you don't remember that, but you still have the same character and attitudes. The point of karma isn't to punish you -- it's to give you the chance to change, to shed habits that don't work (like cooperating with tyrants) and take up new habits that do. As plenty of bad luck clobbers you, you get to see what the world looked like through the eyes of the people you helped murder, and so you learn the compassion that comes from "yeah, I've been there." That becomes part of the character that you take to your next life, and so on.