Hey There!
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Answer:
The simple answer for that will be that they are not complex organisms. Earthworms are simple organism with the small body,
So as there body is not that big thus they don't need any specialized organ system for the process of respiration. Every organism has the complex systems according to fulfill their needs, and most certainly the skin is very convenient medium for the respiration by the diffusion process.
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BLOOD CIRCULATORY SYSTEM:
They have a specialized system where it was needed, THE BLOOD CIRCULATION SYSTEM, There body is small but long and need blood to transfer the oxygen to each part of the body. There blood have the haemoglobin(it carries the oxygen), thus it is red just like us.
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SKIN:
Skin as a respiratory medium, needs to be thin, wet and cover large surface area than volume. The Skin fulfills all these Prerequisites, thus it is a perfect organ for the respiration. Even our respiratory medium which is alveoli is wet, thin and cover REALLY large surface area more than our body. If the skin dries, there will be no diffusion and worm will die due to dessication.
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Best Regards,
'Borz'