Some words don’t change in the plural and ‘sheep’ is one of them. The explanation is that it is an exception. They are called ‘zero’ plurals - aircraft/fish/pheasant/deer/giraffe. As you can see from the last 4, they are often collections of animals.
Pheasant and giraffe can be made plural, though, or at least they are in AmE.
I live in prime pheasant hunting country, where people come from all across the US to hunt pheasants. I personally have killed many pheasants, both with my gun, and unfortunately, the grill or windshield of my car.
Giraffes, however, are much rarer, and nobody hunts them here.