Because the simplistic view of gravity as masses acting on masses in the Newtonian model is incorrect.
Actually, that's not the right explanation. Even in the Newtonian model, light is affected by gravity. But it predicts a different result than relativity. Remember, gravitational acceleration is independent of mass: A heavy body falls as fast as a light one. Thus, one without mass entirely falls as fast as one with a tiny, nearly undetectable amount of mass, which in turn falls as fast as a heavy mass.
However, in relativity it turns out this is not actually the case. In relativity, all bodies follow geodesics (that is, locally straight lines in curved space) through space-time, and matter curves space-time. However, light and mass follow different paths.
This was the basis for one of the early experiments to verify relativity: http://sunearthday.nasa.gov/2006/locations/einstein.php