Here's why:
* It's made up of two words ("pen" and "pal") that function together as a single unit.
* The meaning of "pen pal" is different from the individual meanings of "pen" and "pal". It refers to someone you write letters to, not just a friend or a writing instrument.
Compound nouns can be written as one word (e.g., "toothbrush"), two words (e.g., "pen pal"), or hyphenated (e.g., "sister-in-law").