Some video games aren't available to download because the original or current copyright holder has failed to authorize its release in digital format or failed to successfully negotiate a contract with a digital download site authorizing its release through the site. Some digital download sites, such as GoG.com, negotiate with developers and publishers to legally distribute games released before digital distribution became popular.
Many older games were made by companies now defunct, with the intellectual property of the company long ago sold off or forgotten about. Before the era of digital distribution, the ability to play these games without a physical copy was not always considered, and so retooling these games for digital distribution is not an attractive option for less popular games that are not expected to turn a profit.
Sites such as MobyGames.com, dedicated to the archiving of old games without digital releases, have link redirects to commercial sites selling and shipping physical copies of the game in question. Oftentimes these links send the user to Amazon or eBay and offer a used physical copy of the original game from a third-party seller, rather than the original distributor. These third-party sellers may not always have copies of the game in question in stock.
"Abandonware" digital distribution sites are often legally murky or outright illegal and not recommended, relying on the disinterest or inability of a copyright holder to pursue legal action against the site for redistributing intellectual property without permission.