Although I used to think it was to try and limit Real Money Traders sending their ill-gotten gil around, in hindsight however I don't think that's actually the case anymore, and that it was simply due to to technical reasons - in FFXI the Friend List was handled separately from the game's client, being a part of PlayOnline Viewer and thus, as it was account based, it could access Friend data irrespective of what character was logged in.

FFXIV however has the Friend List integrated into the game's client, and in fact, is character based rather than account based. Each character on the one account has it's own unique Friend List, thus why you can't befriend another character on the same account. It's an odd way of doing things, but POL was unpopular so it's no wonder SE developed the Friend List in FFXIV 1.0/ARR differently.