Why don't we have a file similar to the
File -> Open ->
Android is not iOS. iOS development is only possible in xcode, hence it makes sense they added a shortcut to open it in xcode directly with a
.xcodeproj file. Make life easier for iOS developers.
Android development however can be done outside of android studio as well. Eclipse is just one example, there may be other IDE's that support this. This is possible because android has standalone SDKs and tools that third party applications can use. iOS does not.
Imagine you are working on an android project in android studio. Then your boss tells you someone from 3000km away is going to help you. This guy may be using android studio, but maybe he isn't. When there are multiple options that developers can choose from individually, you do not want to pollute version control with files that you are using, but others may not care about. Each their environment.
This is merely a logical conclusion that you can come to by comparing. The "real" reason why this was done can only be answered by the people that created (adapted intellij) android studio.