Because we are built to a common pattern. All people contain the genetic information to be either male or female, but in the vast majority of people only one alternative develops. All humans are born with rudimentary potential breasts. In the case of women they are triggered to develop hormonally as a secondary sexual characteristic. Men not only have nipples, but undeveloped (pre-pubescent) breasts.
It seems to me that all fetuses, male and female, initially develop as females. Hence the nipples. When the fetus’ pituitary develops and estradiol can convert to testosterone, then the male characteristics begin to show. Had there been no testosterone, the child would probably be a hermaphrodite. However, all humans have both estrogen and testosterone, so this is rarely a problem. The same chemical (FSH or follicle stimulating hormone) floods the secondary sex hormone. However, the conversion to primarily testosterone is what causes the male characteristics. Almost all mammals have nipples in both the male and females,proving this isn’t just a human thing but takes place in all species that use this form of reproduction. Anyway, they have entertainment value!