Because Mac users close their apps when they are done with them.

If you have an app that with windows for things like documents, images, etc. When you finish one document and want to open a different document or create a new one, why should closing your first window also close the app. Do you then need to reopen the app to open the next document?

In Windows the window is the app. In Mac OS, the apps have windows. It’s just a different way of looking at things.