Because single celled organisms can easily diffuse in and out through the cell membrane

Single-celled organism do not need a mass transport system because, they have vessels which transport oxygen separately from the blood.

Single Celled Organisms do not need a transport system simply because they are 1 Cell and because of that they never developed one, oxygen,water(by osmosis) and other needed substances simply diffuse into the cell and unneeded substances diffuse out. I didn't use scientific terminology to give a simple answer.