It's the way AM works. AM stands for amplitude modulation. FM is frequency modulation. Since there is no way to distinguish between what is noise and what is signal when it comes to AM, any noise picked up by the receiver along with the signal is played out the speaker.
AM is good for picking up the noise of electrical motors, power lines, and even lightning strikes.
FM changes the frequency, not the amplitude of the signal to transmit information. So any noise that is picked up doesn't impact the changing frequency. So FM doesn't suffer from picking up noise like AM does.