Question

why all protozoan not performing phagocytosis while all of them have cells memebrane

Answer 1

Because of the centrosome and mitochondria.

Answer 2

it is important to note that a cell needs much more than just a cell membrane in order to perform phagocytosis. It needs some receptors to trigger the operation, and a large variety of proteins to coordinate it. Phagocytosis is a quite complicated process, involving rapid remodeling of part of the cell’s cytoskeleton.

Any line of organisms which does not see a survival benefit from this process may eventually lose the ability over time, as one or more of the necessary components become disabled by mutations.