So first - let's talk about what has ejection seats: Fighter Aircraft.
When are ejection seats used?
Fighter jets have a glass/polymer dome above them for visibility. The area directly above their head is all one piece, and can thus be "ejected", providing space for a clean exit. There's not a ton of room, which is why pilots are limited to a certain height range, else they risk getting parts cut off when they eject. Ejections in general are pretty dangerous, and if the pilot lives, they often have serious injuries, like broken ribs, brain trauma, and so forth.
Tankers do not have a glass/polymer dome above them - they just have more of the fuselage. In order to eject safely, there would be have to large hatches above the pilots, copilots, and all crew seats in order to eject safely. This would be a point of failure for the fuselage, and cause extra complications and considerations throughout the engineering process. Even if they were successful in making this, there's a solid chance you would eject and get cut in half by the tail of the aircraft, which can be moving up to 580mph.
This would also mean that all crew members have to be seated in their ejection seats - which typically they aren't. Think of a refueler as a mobile home - you have a kitchenette, additional seating, and bunks to sleep in. Refuelers spend the majority of their time flying in straight lines waiting to be called upon, so they definitely don't stay seated all the time. You can actually find home cooking videos on Youtube made by Airman that are bored and making pizza during aerial refueling missions!
You also have to remember that there's a boom operator, who is either seated or laying flat at the back of the aircraft - ejecting him up would involve going through the tail, and ejecting backwards gets you stuck in the jet exhaust.
But what if they had ejection seats anyway?
In the case that they did have ejections seats, and every airman runs back to his seat before ejecting, there are decent chances they would either get cut up by the tail, bounce across the fuselage, or get sucked into the engine. All of which are pretty deadly.
But what about parachutes?
I can speculate as to why they wouldn't want parachutes. Jumping from an aircraft in anything but stable flight is dangerous, and nearly impossible. Jumping from a stable aircraft is also dangerous, unless it is built specifically for that. You would jump out the and get hit by the wings, the tail, or worst case scenario, get sucked into the huge jet engines. The KC-135 (or other US refuelers) is not built to be jumped out of like the General Aviation aircraft used by Skydivers.
Costwise, parachutes cost more than they should in the military (like everything else, including their 10,000 USD coffee mugs that they keep breaking), but the cost isn't prohibitive. The larger factor is that they take up space, as you need a parachute for all potential crew, and the canopies can be fairly large even when packed. Space is at a premium in this aircraft, and to add parachute storage would require removing something else. Beyond that, high-altitude jumps from cruising altitude would require additional breathing equipment, which would take up a similar, if not larger, amount of space.
It's not needed
In the end, it's unlikely a refueler will be shot down. Refuelers are generally only flown in areas where we have control of the airspace, or reason to believe that we are well away from enemy fire. Passengers aren't included in commercial jets, and the same reasoning applies to refuelers.