"They are fine."
Translation:Loro stanno bene.
Essentially because that's Italian for you. It's idiomatic. Stanno comes from stare (to stay) but is used here to mean what we sometimes understand in English "to be." So they say "Come stai" (how are you) and you respond "sto bene." (I'm fine) In the same sense "stanno bene" is "they are fine."
Sono, and its friends sei, è, siamo, siete, sono, of course, come from "essere" which has a more literal translation of "to be." It's use is broadly speaking more general and would be correct in most uses except for the above. Hope this helps.