Here's why:
* Dialogue Tag Placement: When "he said" or similar tags follow a complete sentence, you don't need a comma.
* Example: "He went to the store." He said.
* Dialogue Tag Within a Sentence: If the tag interrupts a sentence, you do need commas.
* Example: "He went to the store," he said, "to buy milk."
In short, commas are used to separate dialogue tags from the rest of the sentence, not after the tag itself.