Answer :
Because they cannot breed together to provide fertile offspring. (If their children cannot have children they are most likely to be considered separate species)
For an organism to be considered as same species, it is important that their progeny can mate and produce viable offspring for generations. In this case, the mating of zebra and horse does not produce a fertile offspring, hence, their offspring cannot produce future generation, so, they cannot considered to be in same species.
Moreover, there are difference in the number of chromosome in between zebra and horse, and the zorse's number of chromosome is also different from the zebra and horse. In a species, the number of chromosomes must be same, so, this is also a factor, why they are not considered as a same species.
