What is the reason to lose the reputation of a bounty when there are no eligible answers? Sounds as if it is lost for nothing. Maybe there is some logic in punishing those encouraging good answers of others, if nobody reads the questions or knows an answer? For what purpose? To award only easy questions? To avoid impossible questions?
It's not refunded because you got the benefit that your question was visible for 7 days on the featured tab. You gave the bounty for getting attention, and you got it. It's not a payment for an answer. Even if an answerer can possibly win it.
If it would be refunded, you could keep questions featured forever, without additionally spending points, placing again and again. Now, if you would like the question to be featured for another week, you have to place a new bounty.
Getting special attention to questions should be a bit expensive so that we don't have too many, which would reduce the visibility again. For example, on a bigger site, with the current rules, there are currently 349 featured questions on stackoverflow.com.