Why don't animal cells have a cell wall?

Plants have cell walls made up of cellulose which function in the support and protection of the cell.

Animals have only cell membranes made up of phospholipid bilayer and protein which protects and hold together the cell and its parts, it does not need to provide the support that plant cell was provide because animals have other forms of support ( i.e. exoskeletons and endoskeletons) and the lack of the cell wall allows for increased flexibility and advanced cell/tissue specialization, which plants cannot achieve.

Bacterial cell walls are made up of peptidoglycan and provide support for the cells much like plant cell walls.