Because your car has a battery. The battery can provide power to the lights, accessories, but most importantly the starter, which is used to crank and start the engine. If you leave those accessories on while the engine is off, it will drain the battery (we're talking leaving these things on for hours without running the engine). Drain the battery enough and it won't have enough power to start the engine.

Your car also has an alternator, which is basically just a small generator turned by the engine. The alternator turns some of the engine's power into electricity to power various parts of the engine as well as the lights and accessories, while also recharging the battery.