could anybody explains me why IIR filters do not have linear phase?
For digital filters, linear phase places the following requirement on the transfer function:

$$ H(z) = H(z^{-1}).$$

That restriction implies a linear phase IIR filter would need to have poles both inside and outside the unit circle, making it unstable. Similar arguments apply for analog filters.

That being said, there are any number of approximations which may be "close enough" to linear phase, depending on the application--especially if the causality of filter is sacrificed. For a review of techniques, see the introduction to this paper:


  S.R. Powell, P.M.Chau, A Technique for Realizing Linear-Phase IIR
  Filters, IEEE Trans. Signal Processing, Vol 39, No 11, Nov 1991, pp
  2425-2435.


The algorithm in that paper achieves linear phase with acausal block processing, rather than the usual offline "Forward-Backward" zero-phase approach.