Answer
If you attend a Catholic Mass you will see the first part of it consists of reading and preaching; we stand for the Gospel, but we sit for the other readings and for the preaching. But the Mass is more than just reading and preaching. The Mass is a sacrifice, and there are times--especially in the last part--when the faithful pray on their knees. Kneeling shows our humility before God.
Your question is a surprise because you probably should be asking yourself why you don't kneel in your Protestant services. Scripture suggests you should. In Ephesians 3:14 Paul says, "I kneel before the Father," and in Acts 9:40 Peter "knelt down and prayed." The Catholic habit of kneeling is consistent with Scripture and is another manifestation of the continuity between the Church of the first century and the Catholic Church of today.
Catholics also go on their knees when they go to confession.