Lots of reasons, but part of it is the level of control.
On your desktop, you can click on a file, move it around, change it’s name, group it up with other files, etc. You’ve got a lot more control.
On the internet, you just click. You can’t rename things, or move anything around. You have no control over the experience, so you need fewer options to navigate it.
Of course, phones and tablets have been working for a while to try and find non-double-click ways to let you manipulate files like a desktop, but (for me at least) none of them work as well as the original.
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