Comets lose material as they travel through space. If comets have existed for billions of years, they should have all disintegrated by now.
There is no proof that the Oort cloud (proposed origin of comets) exists. Evidence suggests it does not. Where did the comets come from then? No one knows, maybe the Kuiper Belt, beyond Pluto. But that just begs the question, where did the Kuiper Belt come from? So far science has no answer as they do not seem to be part of planets. A good possibility is that they did not ‘come’ from anywhere, but that they were created the way they are.