Answer: Because between the Earth and Sun there is vacuum
There are three ways in which heat is transmitted:
1. By Conduction, when the transmission is by the direct contact.
2. By Convection, heat transfer in fluids (like water or the air, for example).
3. By Radiation, by the electromagnetic waves (they can travel through any medium and in vacumm) .
So, the space between the Earth and the Sun is vacuum, this means the energy cannot be transmitted by convection, nor conduction. It must be transmitted by electromagnetic waves that are able to travel with or without a medium, and this is called radiation.