Just because it doesn't code for protein doesn't mean it isn't turned into RNA, or bound by some protein to regulate some other part of the DNA.
Some of it is selected for, we just didn't know where to look to find conservation, or the nature of that conservation. It's easy to pick out regions coding for protein because there are some fairly strict rules for these, so it's easy to find conservation. For some of these non-coding regions, the precise sequence and location is not important, and many similar sequences spread over a wide location range can work just as well. Alternatively, some of these regions are selected to have a certain structure at the RNA stage, which can be satisfied by many different sequences, and undetectable by most methods. Lastly, and most excitingly, these are regions that are evolving quickly. While the function of a protein may remain similar between two species, it may need to be produced in a different time and place in different species. These may be the places in our genetic code where we find out what makes us human. Thus some of these regulatory elements are not conserved between species (though many are!).
Now none of that rules out the existence of regions of DNA that do little or nothing and can be mutated without consequence. There are definitely such regions in the genome.
i hope that cleared something up