Why do all flags have the shape of rectangle?

There is no specific reason, actually. Also, I know at least one flag does not; look up Ohio's flag.

(alternate answer) Rectangles are a convenient shape to work with. You might also ask why pieces of paper are rectangular, books are rectangular, newspapers and magazines are rectangular, candy bars are rectangular, and so forth. It would be trickier to make pentagonal flags. Why give yourself extra work?

Switzerland's flag is a square rather than a country; I think they had to get special permission for this. Rectangular flags appear to be golden rectangles which are said to look nicer, so perhaps this has something to do with it.