Because you have been misled. The EU accounts are signed off. In 2014, the European Commission published the annual “Protection of the European Union’s financial interests” report, which detected fraud in just 0.3% of all EU expenditure.
A key part of this misunderstanding comes from the European Court of Auditors (ECA) report that comes out each year. It is a hugely complex and technical report that does not actually use internationally understood accounting language. The ECA assesses the EU budget by looking at the main departments of budgetary policy on a case by case basis. The often-repeated misunderstanding that “the accounts were not signed off” is simply untrue.
The accounts have now been signed off for many years.
Revenue is described as completely “legal and regular”; Commitments are described as completely “legal and regular”. The findings of the report are, in fact, based around working out the percentage “error” in each of these areas and any “error” beyond 2% will lead to the ECA not issuing "a Positive Statement of Assurance". Crucially, an “error” does not mean that fraud has taken place and not issuing a Positive Statement of Assurance does not mean that the accounts have not been signed off.
The Commission emphasised this in its reply to the ECA that an error, even a documentary one, in a procurement process will show up in the audit. The money spent in such a cases could have actually been spent correctly and the project completed successfully but if all procedures have not been followed then it will still be classified as an “error”.  This was recognised by the House of Lords Select Committee for the EU as far back as 2006:
We share the concern raised with us by the European Court of Auditors that their decision not to give a positive Statement of Assurance can be misunderstood. We recognise that the lack of a positive Statement of Assurance does not necessarily indicate that high levels of fraudulent or corrupt transactions have taken place. 
‘Fiftieth Report on the European Union’, House of Lords, 7 November 2006.
Furthermore, the often cited myth that the Brussels bureaucracy is enormous and inefficient has also been shown to be inaccurate. The reality is that the ECA said there was a less than 1% error in this department and the control systems in place were effective.
The costs of running the EU are actually remarkably low, despite the often repeated rhetoric. The European Parliament costs each European citizen €3.10 per year which contrasts sharply with the UK Parliament which costs over twice as much at €7.30 per person per year.
Furthermore, the Brussels bureaucracy, when assessed by the European Court of Auditors, was shown to have a less than 1% error in its budget and the financial control systems in place were described as effective.
The EU does cost money, as any club does. The question is, what do we get for the money? The return in benefits, financial and otherwise, is more than worth the investment as each of us gains over £1,000 per year from our membership. Besides, to leave the EU yet seek to remain within the single market will still involve a significant payment to the EU budget with no say in how it is spent.
Currently, the net contribution per capita of the UK is £116 per person which, although less than Sweden, Denmark, Finland and the Netherlands, is still a significant amount of money. However, this is only half the story since the wider economic benefits of continued EU membership more than cover these costs and each individual makes on average £1,225 per year from our membership.
Within Scotland the situation is actually even better. Scots make a net contribution per capita of only £8 per year which means that the benefits dramatically outweigh any costs. Scots are already much more likely to see the EU as good value for money than elsewhere in the UK and rightly so, we do well out of the deal.
The EU budget should also be seen in context. It is minor compared to what national governments spend. The EU budget makes up around 1% of EU GDP yet the budgets of the EU’s various governments represent (on average) around 49% of GDP.