They're in the minority of mammals who don't have one. A theory:
Gilbert (2001) proposed that in the Bible Adam’s "rib" was really a baculum [penis bone]. According to this interpretation, Man lost his baculum in the Garden of Eden when God took it from a sleeping Adam to make Eve.
Science has since taken up the cause:
In a wide variety of mammals, researchers report, the longer the intromission (that’s how long the male is inside the female), the longer the baculum. Dogs protract the process for up to an hour. Bush babies—those cute nocturnal primates with the big black eyes—"intromit" for up to two hours at a time and have gargantuan bacula. This raises questions. It’s not as if human males don’t engage in some fairly lengthy intromissions, at least at times. Possibly those times have not been a driving force in our evolution. Possibly those times have been comparatively rare in the larger scheme of things.
(Photo by Max Sharping)