Have a look on MSDN for the reason.
Here is an excerpt:
An enumeration is a value type that defines a set of related named
constants. By default, the System.Int32 data type is used to store the
constant value. Even though you can change this underlying type, it is
not necessary or recommended for most scenarios. Note that no
significant performance gain is achieved by using a data type that is
smaller than Int32. If you cannot use the default data type, you
should use one of the Common Language System (CLS)-compliant integral
types, Byte, Int16, Int32, or Int64 to make sure that all values of
the enumeration can be represented in CLS-compliant programming
languages.