My knee-jerk reaction was to say ‘because they are a signatory to the Rome Statute’, but on further reading discovered that all requests from the ICC for a nation’s cooperation are described as ‘may’, not ‘shall’ be agreed to, and worse, that if a nation refuses the matter will get forwarded to the UN Assembly and inevitably to the UN Security Council (Article 87-7). This essentially means Russia can veto, so in reality the don’t have to or at least would only worry about sanctions.
My hope is they are loudly refusing Ukraine’s request now as bait.