Why does Knowledge stay behind as Good Deeds descends with Everyman to the grave?

Like the rest of Everyman, this section of the play is allegorical, relating to the life of every man and woman. Knowledge represents knowing the teachings of the church while Good Deeds represents the ways in which those teaching were put into concrete practice.
In the eyes of the medieval church, it is one's good conduct and deeds which play a bigger role in determining one's place in the afterlife than knowledge of the church's teachings alone. One could presumably be an expert on church teaching and still be a vile human being who does not put those teachings into practice.
Good Deeds follows Everyman into the grave because it is the only thing that can do him any good on Judgment Day.
Good Deeds even says so to Everyman as he faces his earthly end:

All earthly things is but vanity:

Beauty, Strength, and Discretion, do man forsake,
Foolish friends and kinsmen, that fair spake,
All fleeth save Good-Deeds, and that am I.
https://sourcebooks.fordham.edu/basis/everyman.asp

Knowledge is the sister of Good Deeds and the two have accompanyed Everyman to the point of death. Knowledge, which is the knowledge of the teachings of the Church, has been very helpful to Everyman during his life. She has taught him to confess to the priest and to repent of his sins. With Knowledge's help, Good Deeds, who was very weak, has grown much stronger.
However, although very helpful in life, Knowledge can't help after death when one meets one's Maker and faces final judgment. This is because it is not what you know that can help you in the afterlife, but what you did with the knowledge. What you did is your Good Deeds, and these you do carry with you into the afterlife. Therefore, only Good Deeds descends into the grave with Everyman.