Because learning and improving is part of the pleasure of chess. It's a game you can enjoy to play, but also enjoy to study. As you improve, there's a tangible sense of progression which is rewarding. And the scope for progression goes very very deep.

Not all other games have this feature. If I play Catan with my friends, it's fun, but then the game is over. I'm not going to analyse my game and discover new tactics or strategies, like I will with chess.