Because they have a mutation in a gene called EDAR.
More at the link.
NY Times said:Gaining a deep insight into human evolution, researchers have identified a mutation in a critical human gene as the source of several distinctive traits that make East Asians different from other races.Researchers have identified a mutation in a gene that confers several distinct traits to East Asians, including thicker hair.
The traits — thicker hair shafts, more sweat glands, characteristically identified teeth and smaller breasts — are the result of a gene mutation that occurred about 35,000 years ago, the researchers have concluded.
The discovery explains a crucial juncture in the evolution of East Asians. But the method can also be applied to some 400 other sites on the human genome. The DNA changes at these sites, researchers believe, mark the turning points in recent human evolution as the populations on each continent diverged from one another.
The first of those sites to be studied contains the gene known as EDAR. Africans and Europeans carry the standard version of the gene, but in most East Asians, one of the DNA units has mutated.
More at the link.