There's a combination of reasons. Biologically, we’re all wired differently. For example, some people may overeat while others lose their appetite; some sleep too much while others struggle to fall asleep; some get more headaches while others have more muscle tension.
We also all have different temperaments and therefore react to stress differently. Some people are naturally more chilled and are less phased by things, whereas others with a more sensitive temperament can get stressed more easily. Stress exists on a continuum, so the extent to which people feel stressed in different situations differs, and what may stress me highly may only stress you mildly (and vice versa).
Different people also have different experiences of using particular coping strategies and different ways they’ve seen others model how they deal with stress. So, our repertoire of strategies has built up over time but having said that, it’s never too late to learn more helpful ones. This Way Up has a Coping With Stress course: https://thiswayup.org.au/how-we-can-help/courses/coping-with-stress/