If You look at the shape of the d orbitals then They all are No Symmetrical. In three d orbitals, lobes are between the axis whereas in the remaining two d orbitals the lobes are along the axis. In Theory, the ligands approach towards the axis resulting in the variation in the energy of the d orbitals and two orbitals gain high energy due to the potential of the approaching ligands as they are also on the axis, whereas the remaining three loses energy as they were not along the axis.

In the case of p Orbitals all have the same shapes, therefore, no distribution like d orbitals occur and hence no splitting of p Orbitals.