Why does the supply or demand curve not shift when the price changes?

 Shifts in the supply and demand curves are only caused by changes other than price changes. 

Price changes only cause a movement along the demand or supply curve. This is because at higher price levels a consumer will simply demand less quantity, so we move along the demand curve to a lower level of quantity. 

A change in price doesn't cause a change in demand (or supply) at all price levels. Rather a change in quantity demanded (or supply) at all given price levels is caused by shifts in the curves, which can be caused by changes in income, or changes in prices of other goods, or increased cost of production. There are different determinants for both demand and supply. 

For example in income increases, the demand curve will shift to the right, meaning the consumer demands more of the product at every price level.