That's not actually true. We do have some ideas about how life might have started.
We know that lifeless chemical processes can and do produce some of the molecules necessary for life. For instance, the base chemicals of RNA and DNA have all been observed in lifeless environments, meaning that life is not needed to form them.
It seems highly likely that, with all the basic chemical ingredients available, along with a suitable energy source (such as the sun, or perhaps a geothermal vent), all it takes for life to form from non-life is lots of time. The chemical precursors of life might start by coming together randomly, but in the right environment it is likely that at some point a chemical evolutionary process would have contributed to further development. Eventually, by some lucky accident, the earliest forms of life started.
It is true that human beings have not yet managed to create life in the lab from non-life. However, that might just be a matter of time. The point is: we know what the building blocks of life are and we know they can all form by natural processes alone. There's no good reason to suppose that a supernatural Creator is needed to give things the spark of life, or something like that.