Why doesn't the frequency of light change?

Throw a ball upwards and you see it losing (kinetic) energy as long as it is going up against the Earth's gravitational field. Likewise light loses energy as it goes up against a gravitational field, but with two differences from the ball:

The light does not slow down its speed. It keeps its constant speed but the frequency decreases instead. As noted in the answer, the frequency of a photon is proportional to its energy content. In the case of visible light the lower frequency shifts the color we see towards red, so we call it the gravitational redshift (https://tutor.hix.ai).

With the ball, Earth's gravity has a readily visible effect. But light traveling upwards from the Earth is going so fast that it escapes before gravity can exert a strong effect on it. It takes a much more powerful gravitational field to produce a large gravitational redshift. Gravitational redshift is most commonly discussed in connection with black holes and the regions around them.

The frequency of light doesn't change because it's a fundamental property of electromagnetic waves determined by the source. In a vacuum, light travels at a constant speed (the speed of light), and its frequency remains unchanged as it propagates through different mediums or interacts with matter.