In fact they are almost making some kind of sounds. These are either about navigation and understanding their surroundings or about communication with other dolphins.
Dolphins can produce high-pitched whistles and squeals in their larynx. These can rapidly change pitch in the same way we change the pitch in our voice. As far as scientists can tell, the whistles are a form of communication with other dolphins, and squeals are used to express alarm or sexual excitement.
There have been lots of studies done to try to decide if dolphins actually have a language. Many of these studies have not been done very well and there are some extravagant claims that aren't supported by fact.
Others take the view that the dolphin's sounds are of no significance and that they are little more than fish. This point of view makes exploitation and even killing if these incredible mammals even more justifiable.
There is no doubt that dolphins communicate (like many other animals). We know that they communicate emotional states, danger, and the location of food. Their communication also seems to build group awareness within the pod.
But do dolphins actually have language?
While not proof, dolphins, like humans, take turns when making sounds as if information is being passed back and forth. Also like humans, dolphins use specific patterns in their "language".
Dolphins are indeed amazing mammals. Perhaps one day we will understand them better and be able to communicate with them. In the mean time they deserve our respect and a healthy ocean to swim in.