They need not, and unless I am mistaken actually cannot do anything about it. Doing so would be a violation of the Treaty on the European Union in the strictest sense. Which, seeing how it's the EU, doesn't mean they won't do it anyway, as they are so embarrassingly desperate.
First of all, although the ever untruthful lie press went all overboard stating that Boris Johnson asked for an extension, that is not true at all. This is as untruthful as yesterday's news about "deal is settled" after Johnson and Juncker shook hands. Stating that anything was settled at that time was purely fake news. It's settled when it's been signed and ratified on both sides, not a second earlier. If that doesn't happen in time (and it doesn't look that way so far), they can shake hands all day long, it means nothing.
There exists a letter which is not signed, so it could have been written by just about anyone in an embassy, printed out on the embassy's laser on official paper, and handed over. There is no proof whatsoever that it is authentic, no proof that it is a letter written by Johnson at all, or if Johnson wrote one, the actual, untampered version that he wrote. Or, the version that he intended to send. The fact that there exists a contradicting letter strongly indicates that it is indeed very much not a letter he intended to send. Maybe that was a draft version. Or someone played a practical joke on the PM handed over a fake text instead. Can you be sure on an unsigned letter? There's a reason why letters are signed.
Further, that letter does not ask for an extension at all. Read carefully, Boris Johnson may very well be more clever than you think! It basically reads "There's this stupid law which requires me to blah blah, and therefore I inform you that they're seeking".
Note the wording: inform and seeking. Although seeking could in a different context very well be interpreted as "asking for", all that's written is truly "Bleh, I have to tell you, so I inform you that... they're like, whatever, seeking. Oh and they have a date in mind".
Nowhere does it say "I, the Prime Minister, herewith ask for" , or "the UK is herewith seeking".
Whoever wrote the letter is not actually seeking for, or asking for, an extension. It's just providing information (hearsay!) that someone else, notably the UK, is or may be seeking for something, whatever -- nothing more and nothing less.
There exists another letter which basically says the exact opposite of the former, and which is signed by Johnson. If anything, the second letter, being signed and thus demonstrably authentic, voids the first one.
There exists a third now public letter in which Johnson, again, clearly and undoubtly expresses ("made clear that I do not want more delay", and "I will not negotiate a delay with the European Union") that he did indeed not ask for an extension.
So, in summary, the UK did not ask for an extension. You cannot assume in good faith that they did when all signed documents clearly say otherwise. And thus, since an extension has not been asked for, it cannot be granted (precondition not met).
The funny thing is, Johnson did comply with EU Withdrawal Act (2) 2019 to the letter, without fulfilling the act's intent in any way. Congrats to the UK Parliament for wording it sloppily enough to allow for that to happen. Good job, guys. Awesome.
If the future of ~70 million people didn't depend on it, it would be worth laughing.