In short, because the Milky Way disk sets a preferred rest frame. Other matter in the galaxy all rotates with approximately the same speed around the galactic center. Here are some numbers to give you intuition.
Tangential speed of the galactic disk, obtained by averaging over nearby stars: ~ 250 km/s
Speed of sun (and other nearby stars, in random directions) with respect to the galactic disk: ~ 15 km/s
Speed of Earth with respect to the Sun: 30 km/s
Speed of satellites in low-Earth orbit: 7.8 km/s
Speed of light: 300,000 km/s.
If you want more, this article discusses these speeds in the context of estimating the dark matter velocity distribution.
http://pa.brown.edu/articles/Lewin_Smith_DM_Review.pdf
It's fairly accessible as far as physics articles go.
Even if you get outside the Milky Way, the cosmic microwave background sets a preferred rest frame. I can't find the exact speed of the Milky Way in that frame, but the speed of the Earth is ~360 km/s. (This means the Milky Way's speed is somewhere between 100 and 600 km/s.)
The take-home message is that the although the laws of physics have no preferred rest frame, the actual matter out there in the universe most certainly does.