Here's why:
* Subject: The sentence has a subject ("They").
* Verb: The sentence has a verb ("walked").
* Incomplete Thought: However, it lacks a complete thought. We don't know *where* they walked, *what* they walked to, or *why* they walked.
To make it a complete sentence, you need to add more information:
* They walked to the store.
* They walked quickly.
* They walked for hours.