I have to confess cleaning my make-up brushes has never occurred to me. Then a certain small child got hold of my make-up brushes and it became necessary clean them. I discovered that make-up brushes need cleaning regularly because they harbour bacteria and and get clogged with make-up and oils. Cleaning them can prolong their life so it makes sense to do it. Of course there are products out there to do this but they are not necessary.
Add one tbsp of vinegar to a cup of hot water and soak your brushes for 20 minutes. Rinse in hot and then cold water, pat dry and allow to air dry. This will disinfect and dissolves grease/makeup. Its also very thrifty. You learn something new every day, hey!