Because the stars in Orion are not gravitationally linked to each other. Some of the stars in Orion are multiple star systems, but they are so far away, we cannot resolve the individual stars with the naked eye. We see them as single points of light. The stars in the constellation form the distinctive formation and they look close together, but actually they are many light years apart and are all different distances from earth.
added: I have no idea why the guy below me is answering questions in this category. He doesn't know what he is talking about. EVERY star you can see with the naked eye is in the Milky Way Galaxy.
