Why do most exhaust pipes rust and are not made of stainless steel?

You must be thinking of galvanized steel, which is simply coated on the surface to prevent rust. Stainless Steel has allowing elements that essentially prevent the iron from rusting by providing a more reactive element than iron to oxygen. Even if it gets gouged it will form a new native oxide layer to cover up the steel again.

Stainless isn’t unrustable, though some grades are more resistant than others.