They don't. But if you believe that they do, well that's likely to lead you to all sorts of stupid when it comes to trying to lose as it's a belief that has fuelled the past 60 or 70 years of traumatic and extreme diets.
Let me say it quite plainly (and forgive me for my language) - as a means to set personal goals BMI is bullshit. Sure it may be useful when considering a population and risks associated with weight overall, but it's simply not useful to you as an individual as there are all sorts of weight-affecting realities that you simply won't be able (or willing sometimes) to change.
Like every other area of your life, your goal with weight management or healthy living is to do your best, and whatever weight you reach living the healthiest life you honestly and actually enjoy - well that's your "best weight". And I'm here to tell you, whatever that weight is, it's frickin' great.