Well...mainly because visible light emitted by the protostar gets blocked by the surrounding gas and dust but infrared and radio light does not.  Imagine you were locked in a room with no windows and only had  a flashlight and a cell phone with you.  You could turn on the flashlight and shine it around the room.  You could flash “S.O.S” with the flashlight if you wanted, but no one outside the room would see the light from your flashlight and come and let you out.  This is because the walls and doors of the room block the visible light from the flashlight.  However, you could easily call a friend on the cell phone and ask them to come and let you out, because radio radiation (i.e. light) is NOT blocked by walls but can pass straight through unimpeded. 

The same is true of protostars.  The radio and infrared radiation emitted by the protostars is allowed to pass through the surrounding cloud of gas and dust in which it forms, whereas the visible light is blocked.  The two images below show visible light and infrared light images of a cloud containing a young protostar.  Only in the infrared image is the protostar clearly visible.

Visible picture of a person with their hand in a plastic bag.  Visible light is blocked by the bag and so his hand is hidden.

However, infrared light given off by the man’s hand (in the form of heat) easily passes through the plastic bag.

Infrared image of the same cloud in which we can now clearly see the protostar. -  Courtesy of the Spitzer Space telescope

Visible image of a protostar  which is still deeply embedded in its natal envelope of cloud of gas dust.  Visible light from the protostar is blocked and all we can see is the surrounding cloud.