Because interbreeding can destroy the genetic integrity of a species, causing it to become progressively infertile or extinct, evolutionary changes in anatomy and biology developed to prevent interbreeding between species. The specific term is Reproductive Isolation, which acts to prevent some, any, or all stages of reproduction from occurring. Reproductive Isolation is very important in keeping animal species separated. Without separated species, the food chain would become disrupted and many species would become extinct.
While some species of animal and plant are similar enough that they can interbreed -- horses and donkeys can breed to produce mules, and many plants can be hybridized -- most different species are significantly different and cannot reproduce. In most cases, sex between species has no result, as the sperm of the male is just too biologically different to fertilize the females eggs. In other cases, the method of reproduction is too difficult, or impossible; a cat cannot fertilize fish eggs, because the mechanism is incompatible, which is a type of mechanical isolation. Meanwhile, while humans and apes share 95% of their genetic sequence, most studies have shown that the sperm and egg of humans and apes simply cannot reproduce; the biology is distinct enough that the sperm will not attach, so the egg will die.
A sperm only enter the egg if it has the correct acrosomal process that binds to the eggs sperm-binding receptors. This is preceded by the release of hydrolytic enzymes by the sperm to cut throught the jelly coat that surrounds the egg. The sperm only enters the egg if the acrosomal process matches the receptors. The sperm-binding receptors and acrosomal process differ from species to species so interbereding a fish and a whale is not possible by natural circumstances.
Source: Campbell Biology Seventh Edition AP Edition