It is because they are actually fossils.they are made of dead and decay matter burried under the earth for many years.the dead and decaying matter under great amount of pressure and temperatures turn into fossils.and these both are used as fuels so it is called fossil fuels.
These are fossil fuels because they are non-replaceable resources found in the earth's crust that can be oxidized (burned) to produce energy.

The fossil fuels we use today are actually formed from plants and animals that existed hundreds of millions of years ago. The reason there is a lot of concern surrounding the expenditure of these resources is because most of what we use today from fossil fuels, such as oil and coal as you mentioned, are being depleted much faster than they can be formed, so there is a limited amount available.
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Coal and petroleum are called fossil fuels because they preapare from dead and decay materials of plants and animals.
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