But, many do. This was first reported by a Wikipedia user, Mark J, when he created the first version of Wikipedia:Getting to Philosophy on May 29, 2008. It was later popularized by xkcd.
As per Wikipedia:Getting to Philosophy:
As of May 26, 2011, 94.52% of all articles in Wikipedia lead
eventually to the article Philosophy. The rest lead to an article with
no wikilinks or with links to pages that do not exist, or get stuck in
loops. There have been some theories on this phenomenon, with the most
prevalent being the tendency for Wikipedia pages to move up a
"classification chain." According to this theory, the Wikipedia Manual
of Style guidelines on how to write the lead section of an article
recommend that the article should start by defining the topic of the
article, so that the first link of each page will naturally take the
reader into a broader subject, eventually ending in wide-reaching
pages such as Mathematics, Science, Language, and of course,
Philosophy, nicknamed the "mother of all sciences".
Here is another analysis. And here is another.
The failure cases are split fairly evenly between closed loops not containing Philosophy and chains ending in dead-ends (articles that don't exist, or have been deleted).
One example loop is Waste management -> Waste collection -> Waste management.
The Philosophy article itself is part of a loop:
Philosophy -> Reality ->Existence -> Definition -> Meaning_(Linguistic) -> Linguistics -> Science -> Knowledge -> Fact -> Proof_(truth) -> Necessity_and_Sufficiency -> Logic -> Reason -> Consciousness -> Quality_(philosophy) -> Property_(Philosophy) -> Modern Philosophy -> Philosophy. Any of these articles would be equally good choices for highlighting this attraction.