There are a couple of reasons. First it is not usually dressed on a light wire hook. Second it is not treated with floatant so the chennile body abosrbs water. Third they are often not tied with top quality dry fly hackle. If you tie a wooly worm on light hook with good hackle and treat it with floatant it will float and can be a very effective fish catcher. Omitting the chenille makes it lighter and float better but the principle is the same as many palmered hackle dry flies.