WillyLin is correct. The flasher relay gets tripped to flash at a certain current draw. With LED lights your drawing a lot less current so the flasher relay (we called them blinker fuses back in the day, but its not really a fuse) does not get tripped and hence does not blink correctly.

A resistor might could work to shunt off current giving the circuit a higher load. The value of the resistor used would be guesswork on my part, but you would want it between the ground and the positive lead so that when the circuit gets juice, a portion of it gets grounded off before it hits the LED, increasing the current draw and tripping the flasher unit. This will negate the power consumption benefit of having LED's, but should work.

The better way, as WillyLin indicated would be to replace the blinker relay with one that trips on/off with a much lower current flow.

Interesting problem, never really thought about it before. But I'm sure thats the prob.