While some verbs with intransitive sense use "être" for complex tenses (Je suis entré), other verbs with transitive sense use "avoir" to show subject-object relations: Je les ai vus. ("Je" - subject, "les" - object).
Pronominal verbs are always directed at oneself, which means they are some kind of transitive and should use "avoir" as well.
So why do they always use "être" as their auxiliary?
I'm not a specialist of the background of this issue, but it's worth pointing out that basically all Romance languages that have two class of verbs based on which auxiliary they use in the perfect use the essere-derived auxiliary for reflexives (the major exceptions are Spanish, Romanian and some Italian dialects which use only the habere auxiliary in all cases). As such, it probably goes back to Vulgar Latin.
Although pronominal verbs conjugate their perfect with "être" in standard French, there are dialects where this is not the case. (Similarly there are Italian dialects where it's not the case.) Also, the "être" rule appears to be relatively recent. In Old French, the use of "avoir" for pronominal verbs' perfects was at least as frequent, possibly more so.
There are obviously several usages of pronominal verbs: as reflexives/reciprocals; as medio-passive; and as lexicalised or inherent pronominals.
It's hypothesised that originally (as may still be in the case in some non-standard varieties) "être" was used for the perfects of the passive and inherent pronominals, and from there it was generalised to the reflexive usages.
See: R. Posner, The Romance Languages, Cambridge University Press, pp20-23.
