Originally Posted by Wraith
It's implied that this is because Orks don't have souls.
At least, not individually - an Ork horde has a soul, made up of the tiny little parts brought together by the Orks within it, and this manifests via the Weirdboy. This is why Weirdboys are more powerful in bigger Waaaghs (they have a 'bigger' and thus more powerful soul) and why only they explode when things go wrong.
According the the 40k wiki other Orks will sometimes explode as well when a weirdboy goes wrong, this is explained by the WAAGH! energy overflows from the Weirdboy and into the other Orks.