Why do whales not evolve gills?

Because they are mammals, warm blooded. All mammals have lungs. Whales are not fish but mammals, marine mammals to be precise and like all mammals they have lungs and nostrils, and therefore cannot breathe underwater like fish which have gills.

Unlike humans, whales are however unable to breathe through their mouth because their trachea (pipe which goes to the lungs) and esophagus (tube that goes to the stomach) are not connected.

So they breathe by surfacing above the water and inhaling air through their blow hole.