Here's why:
* Ils is the masculine plural pronoun for "they".
* Elles is the feminine plural pronoun for "they".
* sont is the third-person plural form of the verb "être" (to be) and doesn't change based on gender.
* fidèles is an adjective that agrees in gender and number with the subject.
Therefore, to make the phrase feminine, we simply replace "ils" with "elles".