Photon have the same size as an electron(i think) but no mass.
Photons are not the same size as electrons. Technically, assigning a size to either particle is very problematic. Both are considered to be point-particles, which means they are considered to be of 'zero size', but in reality quantum effects tend to smear out the position of either particle based on their wavelength/mass.
Neon said:
WHY
That would require a very complicated mathematical description of Quantum Electrodynamics and the Higgs Field. The simple answer is that electrons simply have mass, and photons don't.