I understand:
rocketboy shows some mechanistic reasons, but there's a conceptual reason.
An Abstract class represents an abstract concept. Take your vehicle example. You cannot build a vehicle that is not something more specific. You can have a set of vehicles, that could be made of 2004 corolla's and '98 ford escorts and 1984 cs36 (a kind of yacht), a mark 4 firefly class mid-range bulk transport(the one with the stabilizers), you can take any one of those individually and call them a vehicle but you cannot have something that is only a vehicle and not one of those or some other specific type of vehicle.
Abstract classes represent such abstract concepts as vehicle. Hence the idea of instantiating one is non-sensical because to actually instantiate it you need to know what you're instantiating.