They don’t, but every plan and instruction going back a looong time refers to things that way.

Essentially, where they make the wood calls it a 2x4. So the places that process the wood calls it a 2x4, and so on.
The kilning and planing process used to be much less regular, so if you used actual, you couldn’t buy four 1.5x3.5s, you’d get a 1.6x3.4, a 1.3x3.9, and so on.

The only consistent way to refer to it was the original sawmill size, and people who built things knew you had to measure the actual size of each piece of wood, or just accept the slop.

We got better at planing and kilning, and eventually the actual size was standardized. We still had all those plans and bills of material referring to things by their nominal name, to say nothing of the actual builders and engineers who were both used to the nominal measurements and didn’t think it was necessary to change. So stores kept selling things by the name people expected when they were looking for products.

Most stores now label in both nominal and actual to accommodate for people who don’t know this, since buying lumber and building things isn’t as regular occurrence for a lot of people as it once was.