Because that's how the data is structured on the CD itself, and thus gives the highest fidelity reproduction of what's on the CD.
The way audio data is stored on the CD is as one continuous stream of audio data and a cue list (called the table of contents in the specification). (That's an extremely simplified, high-level model, but good enough for this discussion.)
There are CDs which play some tricks with the cue list. For example, imagine you have a CD recording of a live concert where the band talks to the audience in between songs. If you listen to this CD in a linear fashion, you will probably want to hear the in-between bits. But if you only jump to individual tracks, you probably want to hear only the music, and if you listen to the CD on random shuffle, the in-between bits might not make sense because they might be talking about the previous or the next song, but since you are listening on random, you will actually hear a different song.
This can be achieved by clever use of the cue list, where the end point of the previous track is set to the end of the end of the song, the start point of the next track is set to the start of the next song, and the audience interaction bit in between lives in a kind of "no man's land".
Now, if you jump to a specific track, it will start playing at the beginning of the song. If you listen on shuffle, it will play until the end of the song, then jump to the beginning of a different song.
Similar tricks are also used for hidden tracks.
Only if you listen to the CD in a linear fashion, will the player play the bits in between the tracks (and you might see your display doing strange things, for example the timecode of the track going negative and counting towards 00:00.00).
Now, if you rip all the tracks individually, you will also not get the bits in between the tracks. Therefore, it makes sense to rip the whole CD as one piece and the cue list separately. In particular, you can always use the cue list to cut up the long track into separate pieces if you want to, but you cannot get back the original, once you have cut away the in-between parts.
So, this particular format gives you the most flexibility.