They did at first, but you should be able to locally sync your calendars via iTunes. You would need a local (ON MY MAC) calendar in order to sync it that way, though.

If you don't have an On My Mac calendar, do this:
- In Calendar preferences, enable the Birthdays calendar on the General tab.
- Show the Calendars List.
- Select the Birthdays calendar in the list.
- In the gray area below the Birthdays calendar, ctrl-click (or right-click) on the gray area and select New Calendar. That should create a calendar that is local to the Mac. You should be able to sync that calendar via iTunes.
You will need to disable Calendars in the iCloud System Preferences and on your iPhone (Settings > Mail, Contacts, Calendars > iCloud). If you need to move items off the iCloud calendar to the new one you will create, don't disable the iCloud calendar on your Mac until you have completed the moves.
I noticed that on the iPhone, it asked if I wanted to keep the calendar items on the phone. That may be the easy way to move the calendars, but I'm not sure if it will sync from the phone to the Mac.