The reason for this is quite simple, these chips are aimed at enthusiasts so the chip giant expects most users will use third-party solutions any way as these provide better cooling and/or lower noise.
Intel will be launching its Skylake micro-architecture shortly. The paper launch is expected to be held at Gamescom 2015 with the products hitting the shelves within a month or so. One thing that will change from past lineups is that the Skylake-S “K-Series” unlocked multiplier CPUs will not ship with a stock HSF. Rather, taking a leaf out of the HEDT book, Intel expects end users to use their own third party solutions (while giving the option of its own dedicated solutions).
Source: WCCF Tech