Because Pokemon is a game, and when they were making it back in 96, I highly doubt they were thinking that anyone would really be concerned about whether their ghost pokemon have weight or not. It's something pretty trivial, those guys always ask for a big magickarp or feebas or something, you don't hear "oh, i saw me the biggest gengar in all of existence!" But like the user above said, they are made of matter. Like all things on this planet, they'd be made of matter too. Matter has mass, therefore they would way something. Maybe a miniscule amount(because I wouldn't imagine their matter to be very solid/plenty.) The atom is mostly empty space, so maybe they just have A LOT of empty space in their atoms that makes it so the attacks just go straight through. Aha.