It is not always the case with all Kingdom Halls. In fact there are many with windows. About as many as reasons for having no windows. A few common answers are found below:
For security reasons. Normally they do not have a parish residence nearby to keep a watch on their belongings. This is a bigger problem in larger cities.
Cost benefits. Windows are more expensive and time consuming to install. Plus they are not very well insulated raising heating and cooling costs.
Volunteer labor. Kingdom Halls are built by volunteer Jehovah's Witnesses within a 3 day time-span: Friday thru Sunday. As mentioned above, windows are time consuming to install, and with a 3 day limit....
So, many people would answer "To save money", which is kind of a reason behind all the answers.
Thought I might as well just put in an image of a Kingdom Hall with windows (taken from this Wikipedia page):