Because they don’t believe he’s human at all. There’s a scene in the novel where some ask why don’t they investigate the name MC gave him but I think the collected shut it down.
To them they think MC doesn’t know he’s not a human and that he made himself believe he was a human
Additionally, if he claims to be age of 29 and name Seo Jio, and the painting is from an abandoned burnt building, their investigation is already narrowed down to that, you know what am I saying right?
this is quite a refreshing, though I wonder why didn't investigate his name since he introduced himself.