Porque não usamos os auxiliares "do/does" com o verbo "to be":
I am afraid. || Am I afraid? || I am not afraid.
You are afraid. || Are you afraid? || You are not afraid.
He (she/it) is afraid. || Is he (she/it) afraid? || He (she/it) is not afraid.
They are afraid. || Are they afraid? || They are not afraid.