Because they taste good, and they have essentially no relationship with coronary risk:
Overall, the literature does not offer much support for the idea that long term saturated fat intake has a significant effect on the concentration of blood cholesterol. If it’s a factor at all, it must be rather weak, which is consistent with what has been observed in multiple non-human species (13). I think it’s likely that the diet-heart hypothesis rests in part on an over-interpretation of short-term controlled feeding studies. I’d like to see a more open discussion of this in the scientific literature. In any case, these controlled studies have typically shown that saturated fat increases both LDL and HDL, so even if saturated fat did have a small long-term effect on blood cholesterol, as hinted at by some of the observational studies, its effect on heart attack risk would still be difficult to predict.
Actually, I have a simpler explanation — it’s simply an appealing theory, from a common-sense standpoint. You are what you eat, right?
Of course, it’s always dangerous to rely on “common sense” when it comes to complex topics like biochemistry. And yet the FDA builds such murderous concepts as the food pyramid on such shoddy research and thinking. Not to mention agri-industry lobbying, of course.