Its because of their shape - the rain tends to run off them if they are placed on their side. They will mold if you place them on one of their flat ends though as the rain will soak in instead of running off.
Sempre is right but rain still gets in eventually. You can't leave a round bail out there forever.
In my area (including the farmer who bails my hay field) round bails are made 80% of the time. With the drought we are in, my pasture is not doing too well and I have to supplement with hay. With only a couple of horses they won't finish off a round bail in enough time to make me comfortable so I keep my hay inside out of reach and use a fork to take off what I want them to have at feeding.
Yup, what Iride said! Most people that I know store their round bales under tarps, sometimes on top of pallets, or in the barn if you have room. I won't buy roundbales as I don't have the room to store them indoors now, but when I did, I'd only buy them if they were recently baled and we had no rain since then, or they'd been stored covered.
Ty all for answering my question! There is only 2 horses in my pasture and plus its been raining a lot here lately so I think I will stick with the square bales. I don't have a place to store one of those large round bales either. Thanks for the info though...its good to know.