Because they use the lowest quality carrots to make them (since they are usually sold cheaply), and because by cutting and peeling they can hide defects.
Also peeling them causes them to deteriorate somewhat.
I think it's all in the freshness. My parents grow their own fruit and vegetables which taste amazing. The ones you buy in the shop, having probably been left in cold storage for who knows how long, are dull and uninspiring in comparison.
I speculate that the varieties are different too. A carrot grown for a supermarket has to have properties that its home-grown cousin needn't, for instance a uniform size and shape to facilitate packaging, and not shrivelling after a week in storage. These probably win over taste when it comes to selecting the variety.
Especially baby carrots, which are the junk of the carrot world, do not taste good.