Hello Mary, good question.
Capacitors are basically to metal plates insulated apart by a dielectric material of sorts even air is used. Mylar or ceramic disk type capacitors have a very long life span but are not very big in capacitance either. Electrolytic type capacitors have a much shorter life span because they are constructed in such as to give maximum capacitance for their size. Consequently the dielectric breaks down with age and the device starts to leak or fail completely. They may also have an oil inside to help keep the dielectric strength up. Eventually they dry up though and fail. It is simply the nature of their construction.