Well, they sort of do, but without getting rid of the quality loss. I'm sure there are people who can explain this better than I can, but basically the idea is this. You start with the original wav file. Then you compress it to mp3 or ogg or whatever. You lose some data in the compression process. Now, even if you decompress those back to a wav, that data has still been lost; in other words, by converting an mp3 to a wav, you aren't decompressing it to it's original form, you're just creating a wav rendering of your mp3. Whatever quality loss or compression codecs came from that original compression to mp3 cannot be undone, because that data no longer exists. So if you then compress it to another format, or even if you compress it back to the same format, it will take that rendering of already-compressed audio and compress it again, resulting in further quality reduction and introducing further compression artifacts.
The only way to get it in another compressed format without having artifacts and quality loss from double-compression would be to take the original wav (not the compressed-then-decompressed one) and encode it in that other format.