Because they employ cognitive dissonance and tell themselves that it wasn't really socialism that failed, it was just implemented poorly. You have to understand the true psyche of a lefty which differs from you and me. Where you and I see human nature and accept it for what it is with all of its imperfections, lefties see human nature as something to changed and molded into their own image. They are convinced of their own moral and intellectual superiority which is why you hear them make claims like "they are voting against their own interests". To a lefty, you aren't merely wrong, you are immoral and vile and lack compassion if you don't accept their proscriptive solutions for dealing with lifes challenges.
Once you understand the mind of a lefty as I do, the rest is really simple.