Earlier quoted context omitted.
Because the menu bar is associated with the application, not with the window. An open application does not need to have any open windows at all.
The concept of "an open application with no open windows" is a very OSX thing that other windowing OS's manage to avoid without effort or difficulty. There are lots of ways to represent background tasks, services, VPN's, etc, that don't require the concept of "an app without windows" in a windowing OS (and without polluting the app switching experience as other commenters have complained about).
I find it convenient to be able to have an application with no windows. The big reason is for applications with longer startup times—unfortunately, something we don’t have a good solution for. The other thing I like about it is that I can close a document and create a new document without figuring out if I need to reopen the application after closing a document. Closing a window only closes the application for cases where that makes sense (System Preferences).