Because a sheep would sooner follow the flock and die, than make up its own mind and live. In this, a sheep is similar to people. Most people would rather be fools but thought of as wise, than be wise and thought of as fools.
The shepherd is there to keep the stupid sheep in line, because without him, the dumb animals would most likely die by themselves. So he might beat them with his stick, and have his dogs nip at their heels, but this is done so as to preserve them for their proper purposes - wool and meat. Fortunately, the reason Jesus keeps us is His love for us, rather than wool or meat.
I think a dog has faith. A sheep simply lacks intelligence. I can only speak for the sheep I've seen, but there were no smart ones. I've seen many smart dogs, and faith - to a dog, his owner is as a god.
Why do you think goats are stupid? Thinking for one's self, and making one's own decisions, is surely a sign of intelligence? The goats I've met were certainly not warlike - but there is the world of difference between goats and sheep in brainpower.