There are several reasons. First, Johnny was so young. I remember losing a friend of mine who was 14 (I was 17) and I was in disbelief for months. People aren't supposed to die young. It isn't the natural course of life and this is part of the reason Ponyboy has such a tough time. Also, they were very close friends, so this is a huge loss for Ponyboy. He's in denial. In addition, Johnny had been through so much in his short life that Ponyboy saw his death as being so unfair. Johnny never had the chance to grow up and go to college, get married, etc.
Pony didn't believe Johnny is dead because he loved Johnny and he doesn't want to believe it.