Well, technically they don't!
Traditional outdoor neon signs operate with transformers and high voltage wiring. Usually, when you see "burnt out" neon signs it is likely due to transformers failing, or the wiring connecting the glass tubes overheating. You do not need to worry, our neon lights are designed for home use using a low voltage power supply. If there is any inadequate or surge in power, the base may fail, but your neon glass design will still be usable and you may contact our customer support for a base replacement.
Over the years with use, the gas pressure inside the tube decreases or the neon gas finds a way to escape. Some neon designs with multiple colors require parts of the glass to be fused together, over time the fuse lines (and the ends of the tubes) would be the most likely culprits for gasses escaping or air entering. The gasses inside the glass tube are sealed in very low pressure compared to our natural environment. These would all be the closest scenarios to answer why neon "burns out" but are also highly unlikely to happen vs accidental breakage. 🤓