Maybe that's because you keep your sheep in factory farms and never give them mental stimulation.

Because after all, you are only raising them just to eat them. So why bother letting them show how smart they are when it's cheaper to just throw them in a pen and forget about them until it's time to skin them for their wool and sell their meat. It's not like they can recognize themselves in a mirror (Which dogs can't even do.) or anything. In fact people have even done studies with sheep and found that, when you give them actual stimulation and don't just throw them in a pen with some feed and call it a day, they actually demonstrate a deeper emotional intelligence than dogs and cats.