Why Android phones do not have Internet firewalls? No Android phone has an Internet firewall
Unless you root your smartphone

Why manufacturer devices of Android phones do not put Internet firewalls on it?
Most consumer firewalls block incoming connections only and allow all outgoing traffic. This is to make configuration easier; you enumerate what services you are running and want to allow, but you do not need to enumerate all the kinds of outgoing connections you want to allow. 

Most android devices do not run as servers. Setting up a server process that can listen and respond continuously breaks power-saving features. If you want to send data to an Android device, you get the Android device to connect to you, possibly alerting or sending via cloud messaging, which is a connection setup and managed for power-saving from the Android client side. 

What will a consumer firewall do for a device that isn't running services? Nothing because there is nothing listening that you can block traffic to. 

If you run server processes on your Android device, this situation obviously changes, but this is not the expected normal usage.